Where to buy gear

You might try looking for bike shops in your area... call first to ask if they have tried gear.

Chicago-land? Do you have a Fleet Feet in your area? Some of them dabble into the multisport world. There are also a couple multi-sport shops in the area. . .or at least there used to be. See if Running Away Multisport is still around. A quick google should get you some results.

Do you have REI there? They usually have some basics, like tri tops/shorts, goggles and earplugs for OWS, race belts, and gu. Should be near the bike accessories and clothing. Have not had any luck with other chains like Dick's or Big 5. Big 5 does often have good deals on swimwear and running shoes/clothes, but nothing really tri-specific.

bike shops in your area or amazon

Many bike and running shoe stores will carry a small amount of swim related things, obviously local bike and shoe stores for those items. If you find this is something you enjoy you might want to look into joining a team. The discounts I receive at my local shop bring their pricing down to the online level and it's always good to be on good terms with your bike shop. There are times I've needed something done quickly the day before a race and they've taken care of me at no extra charge. If I was a random guy walking into a bike shop I probably wouldn't receive that level of service.

It can be hard to source some items locally... if that's the case be sure to look for a company that offers free returns. For example, Roka offers a 30 day return policy. If something doesn't fit, just send it back and they will swap it out.

Also consider hitting up a race that will have a large vendor expo, even if you are not racing it.
Many running and triathlon events will have vendors set up tents and sell ear you might typically not find in person.

Be ready as the prices may be higher, but you might be able to see it in person and buy it online with confidence.

Thank you for all the responses

Chicago's gotta have a few multisport shops. Google "triathlon multisport" or some such.

We've got three or four here in The Lou even that carry some multisport stuff. One is even tri themed in nature, but in reality is more of a bike shop, running shop with some extra tri stuff. But, I'm a bigger boy...so they never have my sizes or the brands that have sizes for me even, sometimes.

The good thing is...the online dealers that deal in tri gear....often are very easy to work with in terms of returns. They understand sizing is quite an issue.

I think sierra trading post website has a good return policy...