Hot Doug's: gourmet hod dogs and sausages (a bit of a wait)
burgers & beer (a very long wait)
Both are inexpensive, but offer an interesting side of Chicago
If you're in the loop, swing by Hannah's Bretzel for a great sandwich. If you can make it out there, I'd agree with Michael Brooks on Hot Doug's. Kuma's Corner is supposed to be great as well, although can't speak from personal experience.