Milwaukee doesn't quite have the hot dog vibe that Chicago has, but there are some good places to try.
Martino's (1215 W. Layton Ave.) is considered by many to be the best place for hot dogs, including Chicago-style dogs. The restaurant's official name is Martino's Italian Beef, so you can round out your diet with that other Chicago specialty:
http://www.yelp.com/biz/martinos-italian-beef-milwaukee Sammy's (106th and Greenfield Ave.) is also a Chicago-style joint, and like Martino's you can get Italian Beef as well as sausages:
http://www.sammystasteofchicago.com/ I personally prefer Martino's over Sammy's, but better than both of these is Dr. Dawg, recently opened in a strip mall in Milwaukee's North Shore (6969 N. Port Washington Rd.)
http://www.drdawg.net/ Dr. Dawg has all of the classics--Chicago-style dogs, Italian Beef, Wisconsin bratwurst, etc.--but also has a few specialty items, such as a delicious duck sausage sandwich.
The
Dogg Haus has two locations, but I'm not quite as fond of it. There are other hot dog purveyors in the Milwaukee area, such as Judy's Red hots, but I'm not familiar with them. But, why stop with hot dogs when you're in Milwaukee? At Dr. Dawg and at Martino's and Sammy's, you can get Wisconsin sausages (such as bratwurst) on a bun-- something a little more specific to the region.
Other good places for sausages include Old German Beer Hall on 1009 N. Old World Third Street:
http://www.oldgermanbeerhall.com/2008_OGBH_MENU.pdf This place, like the nearby
Cheese Bar (1048 N. Old World Third St.) at the Wisconsin Cheese Mart, serves sausages made by Usingers, which has a store on the same street (1030 N. Old World Third St.):
http://www.usinger.com/ There are many other places in Milwaukee that sell sausages on plates and in buns--There's even a sausage bar inside Whole Foods (2305 N. Prospect Ave.).
I hope this helps--enjoy the dogs or brats or whatever you wind up eating on your visits here!