J.W.
Unfortunately, they are all quite costly.
Little Green Tree House in the West Loop ($74/day and academic based, organic catering too, not sure what the infant fee is)
Chalk School in Lincoln Park near the big Whole Foods they have both full and part-time programs
Spouts Academy which is opening up in the River North area in early 2010
I do know CPS is $10K per year for preschool 3-5yrs a tad cheaper than what you pay for some of these daycares...
Good Luck!
J. W. MPH
Maternal and Child Health Educator