Beer Bistro on Madison has over 150 beers and I spend quite a bit of time sampling them all there. If you get there on a busy night, don't bother sitting downstairs though, it feels like some high school kids basement down there.
A low key place with good bottles is Caseys Tavern. Food is frozen pizzas but the beer is good.
Jaks tap also has a good variety. They are a few blocks from Union Station.