Stay around Gurnee. Shopping at Gurnee Mills. Lamplight is about an hour away. Dover is in Libertyville, Saddler's Row in Palatine, and Barrington Saddlery in Barrington. Are you horse shopping or just shopping? Fields and Fences is a lovely facility just northwest of Gurnee Mills Mall.
If you just feel like horsey exploring, you might enjoy Barrington. Eat downtown, go to Barrington Saddlery, drive around Barrington Hills (beautiful horsey area with scenic farms, rolling hills, and coops built in to fence lines all criss-crossed by an extensive network of riding trails). Check out the Barrington Hills Riding Center on Bateman Road (owned and operated by the Barrington Hills Park District-- anyone can use it). If there's something going on at Lamplight (in Wayne), it's definitely worth a trip, too. Both Wayne and Barrington are very horse-oriented (though Wayne is a very small little hamlet). My favorite place to eat (whn at Lamplight is The Filling Station in St. Charles (next door to Wayne): casual, good lunch, nice atmosphere in downtown St. Charles.