Based on your description, it sounds like you have an Adlake Railroad Switch Lamp or Marker Lamp. They used kerosene and that's the reason for the wick. Adams & Westlake (Adlake) has been in business for more than 150 years. If you would like to read about the company that made the lamp, here is their website http://www.adlake.com/about.php
The particular lamp you have was likely used for the Chicago Railroad (Chicago marked on the lamp). As for the value of the lamp, as with anything else, it is only worth what someone is willing to pay for it. The value of it will depend on its condition, its age (I believe your lamp is probably mid-20th Century), and the scarcity of that particular lamp. In Ebay's Railroadiana section, you can get an idea of what these lamps are getting at auction. You should be able to compare your lamp with the photos on the Ebay site.
If you would like to see several photos of Adlake lamps to compare yours, here iare links to check out: http://images.search.yahoo.com/search/images?_adv_prop=image&fr=slv8-&va=adlake+lamp&sz=all and http://www.jeffpolston.com/lantern.htm
If you decide to check out Ebay for prices, do a search using the following category string: Railroadiana, Trains/Hardware/Lanterns, Lamps/Adlake non sweating (or Adams & Westlake non sweating)
It appears that the price of your lamp could go for anywhere between $75-$150 (or more if collectors are looking for that model). Again, it will depend on the condition, its age, the number of lamps like yours that are still out there, and if your particular lamp is one that is in demand by collectors.
Please let me know if I can assist you further. If you can find any kind of a date on the lamp/lantern, it might further define the value. I hope this information has helped you.