I remember Sally’s Stage! It probably closed 20 years ago. If I recall correctly, it was on the far North Side of the city, near Devon and Western. It had a huge pipe organ and a mechanical bull. According to Chowhounds’ Chicago Area Message Board, the site is now an Indian or Middle Eastern restaurant.
Correct on all points. Just to add to the history a bit, Sally’s was owned by a guy named Joe Bortz. Joe also owned and founded the Dr. Jazz Ice Cream parlors on Montrose and in Evanston. Remember those? The concept was an "authentic" turn of the century ice cream joint loaded with working nickleodeons (sp?). As I recall they were constantly playing; never a moments peace, conversation was next to impossible. Of course as teenagers, we really didn’t care. I think their specialty was a peanut butter milkshake. Confirmation anyone?