We were married at Mayslake Peabody Estate in Oak Brook and they allowed us to bring in our own caterer and bar (our caterer provided it) We loved the venue. We were married at the Chapel and had our reception in the Event Hall. They were great to work with and you are the only wedding at the venue. They do have specific insurances they expect your caterer to purchase so be sure to ask about those. A one day liquor license for Oak Brook and an insurance policy. These extras cost us an additional 250., but to me it was worth it because I loved the venue. They are a park dist facility so there are limited dates available. Good Luck!
Try the Newberry Library in the city. Karen Aubrey is one of the main wedding contacts and they let you bring in whatever caterer or bar that you'd like as long as the vendors meet city licensing requirements (which they can give you all of the details on). From what I can tell the library books up pretty quickly though (when FI and I went in January they were already booked for a good part of the summer for 2012) so if you're interested I suggest calling as soon as you get the chance. Here's their website for more info: http://www.newberry.org/facility-rentals.
Other places that we looked into were the Chicago Cultural Center and Harold Washington Library but I don't know if they allow you to bring in your own caterer. The library on the 40th floor at 190 S. LaSalle is also classy and elegant, but again I don't know about the catering restrictions.
Michelle's Ballroom let's you bring in anyone you want. They are at California and Belmont, in an old bank building. They have tables and chairs, but we did notice that it would require some decorating. It's nicer than a standard banquet hall, though.
Re: Wedding venue that allows own catering
They are a park dist facility so there are limited dates available. Good Luck!