I tend to hear about shows through the 20 or so press releases that flood the Maroon inboxes on a daily basis. For those of us without that constant pain in the a--ahem, luxury, there's the much more efficient Sonic Living.
The site searches your iTunes, Pandora, and Last.fm favorites to figure out what bands you're actually interested in seeing. And when those bands come through town, your iPhone, Facebook, iGoogle, etc. can be made to herald their arrival.
So if you sometimes miss good shows in spite of your attempts to keep tabs on Chicago's umpteen venues, Sonic Living might be worth a try. For those of us who don't get out because we're just too damn busy...I'm still looking for a website to fix that.