OK, I've been living in Chicago for about 3 1/2 years now (in the beautiful Beverly neighbohood-tucked into Chicago's southwest corner). Living down here in the 'forgotten south side', I have a slightly different take on what's cool in Chicago (it also helps that until moving here I lived in a small city and am wowed by anything urban).
Anyways, one thing I really love about Chicago that no one ever sems to notice is the variety of ethnic neighborhoods. There's a great Chinatown centered around Wentworth and Cermak (22nd St.). Even better is an Indian/Pakistani neighborhood centered around Devon St ad Western. Great food, great grocery stores! A small Vietnamese neighborhood is on Argyle St. in the Uptown area. A couple of fun Mexican neighborhoods: Pilsen, centrered around Ashland and 18th, and Little Village, around Kedzie and 26th. Both these neighborhoods are full of street life, really bustling places. Pilsen also has the Mexican Fine Arts Center, the largest Mexican art museum in the country. It's a great place, and free! Down by Midway airport, 63rd St. starting at Cicero and heading east is a mixture of middle eastern and mexican groceries, shops and restaurants. As you go further east, it becomes a bustling afro-centric neighborhood. There are other ethnic neighborhoods around that I haven't yet discovered. Do yourself a favor and check out Hyde Park. The University of Chicago is there, giving the neighborhood a college-town feel. The best bookstores in the city are there, and by far the best pizza (Medici, on 57th St.) You can see cutting edge art at the Renaissance Society, the Museum of Science and Industry is there, and the wonderful Oriental Institute (ancient art/culture of the middle east). I love this neighborhood, almost moved there when I first got to town. Of course you'll have to check out he touristy places (Navy Pier, the Magnificent Mile), but I'm sure you'll find that the soul of Chicago is in the neighborhoods. Great stuff seeking new owners in Yahoo! Auctions! http://auctions.yahoo.com
