Naperville is a great town with a top notch school system. Congrats on the move. You will need down jackets for everyone in the family - scarves, hats, mittens. Waterproof boots are also good. I'm sure this all sounds a lot and a bit overwhelming, but it could be fun shopping for this! For guys, hats can be cumbersome, so in the very least, look for these ear coverings called 180s. They cover the ears and the wraps behind the head so it's very understated but keeps the head warm (and thus the rest of the body).
For the stylish mama / kids, you could get UGGS. They are a bit pricey, but at least for the adult(s), I would strongly recommend them. They were the best investment in winter shoes I ever made - they are soooo warm that you don't even need to wear socks while you're out! If you tend to have cold feet at home, they make wonderful slippers for inside the house as well that my hubby and I can't live without. The sheep's wool also supposedly wicks away moisture so you don't tend to have smelly shoes from not wearing any socks.
For jackets, I would go with cute down jackets for the kids. For the adults, I would recommend versatile jacket systems like North Face or Columbia. Patagonia also has really great warm down jackets that don't make you look like a marshmellow. All of these companies make shells / jackets that are waterproof and windproof so you can wear it during rainy weather... so, it's versatile. Again, pricey but if you can see yourself wearing it in several different kind of weathers, then it's worth getting.
The winters get VERY cold here, so be ready for weather shock. Also, it can snow a lot here, so you might want to look up snow removal services for the home, or buy a snow plower if you are a DIY kind of family. Having salt for the sidewalk is also key.
Sorry, I digress. You asked about where to get all these things. The best place might be REI --- they carry all three brands of jackets and then some. Check out rei.com
Also, for the UGGS that I mentioned you can find them at Nordstrom's, Macy's, Bloomingdales. You might also find them at REI but I can't remember.
But it's important to layer here. So get some lightweight fleeces to wear underneath the jacket. It's not so important to get the puffiest jacket in the store in order to withstand the cold here. Go with something that will be comfortable and that you can see yourself wearing in sun, rain, or snow. Then the $$ you spend will be worth it in the long run.
Hope this helps.