For over 90 years Fannie May has produced fine quality gourmet chocolates that have become a family tradition all across the World. The finest quality gourmet chocolates in the world. The first Fannie May retail store was opened by H. Teller Archibald in 1920 at 11 N. LaSalle St. in Chicago. By 1935, there were nearly four dozen retail stores in Illinois and several neighboring states. During World War II, while other companies chose to change their recipes when ingredients were scarce, Fannie May stuck with its exact recipes, making only what it could which often meant closing shops early because no more candy was available - never was the taste of the candy compromised.