There is certainly no dearth of great places to shop in the small suburban towns surrounding Fermilab. The Chicago area is rife with large shopping centers. Somewhere north on I-294 is a mall called Woodfield that has about the same shopping area as the Mall of America (except it has no amusement park inside). Below is a small selection of places to go when you need something in the Fermi area.
The largest shopping center near Fermilab is certainly the massive cluster of malls in Aurora along Route 59, known collectively as the Fox Valley Center. Upon heading out from the Lab east (on Batavia Rd.) turn right on Rte 59 and go south 3-4 miles. There you will find rows of stores on either side of the road. Near the intersection of Aurora/New York Ave are entrances to the Fox Valley Mall ((630) 851-3000, http://www.westfield.com/foxvalley/). Be aware that traffic can be extremely congested along Rte 59, especially around rush hours.
For general supply stores, you can go to the general stores at the far end of Batavia. Heading along Wilson road, you proceed through the center of Batavia and beyond until Wilson ends with a ``T'' at Randall Rd. Directly ahead is a Target store and a Sears Hardware store. A short distance to the right is a Menards store with more hardware-type supplies. Downtown Batavia (around the river) has a few more small stores (including a drug store), but not very many.
Geneva has a large number of quaint little small-town shops and restaurants, mostly along State St. and Third St. You can get there by proceeding north on Kirk Road (the road to the west of the Lab) and turning left on State St. These are usually more pricey than the mass-market stores, but it can be nice to wander around. Most of these places are near to the river along State Street, but there is a cluster of more commercial places further west on State (near Randall Road). The "Geneva Commons" is also a good place to visit for shopping with various stores from sports to designer clothing, restaurants, bookstores, etc. This shoppong center is located on Randall Rd. and Williamsburg Ave. (http://www.shopgenevacommons.com).
St. Charles has a lot of small stores like Geneva, as well as larger shopping centers along its main drag. St. Charles is also known for its many antique stores, which are mostly clustered along Main St. just west of the Fox River. You can get there by driving north on Kirk Road and turning left on Main St (Rte 64).