Chicago winters require gear that will keep you really warm. I love North Face for just that reason. They have really practical and great looking items here that will get the job done well. Their jackets, though a bit pricey, will keep you really warm and will last you through a couple of winters, if not more.
They also carry those accessories that help you stay extra warm, like scarves, gloves, and hats. All the things here are amazing and will keep you prepared for the cold.