Not really a sandwich shop, but Kaldi's Coffee shop has a great Cuban Sandwich (get it with pita chips and hummus), but they change up the menu so don't know how long you will be able to get it.
Mr. Goodcent's has a pretty good cold sandwich (and it's BIG)
Jimmy Johns, must be something addicting in the bread, because I just can't resist if asked "want to go to JJ?".
A bit south of St Louis, the Bixby General Store has a great grilled steak wrap.
I like Kaldi's coffee and other items, but I've not been terribly impressed with the sandwiches. I'll have to give that Cuban a shot.
Jimmy Johns is another one that I forgot about. There's my lunch next week.
Honestly for convenience I find it hard to pass up Jimmy Johns and Penn Station. If I'm going to expend some effort to have a sandwich, I love to make one myself.