Chicago is always good, that's why you are interested in it :)
On a serious note, it depends on what you're planning to do. Taxes are too high for owners and rent is too high for tenants HOWEVER this makes it a great market for Section 8 landlords. One of the trends that I am seeing on the Southside (my stomping grounds) is, you have single mothers going out of state to get section 8, then transferring it after a year to move back to Chicago (smart move in my opinion).
While sect. 8 is the way for the Southside, you also have the Eastside Condo Craze, as I like to call it. Chicagoans LOVE condos buy the lake. Buy an abandoned 2-3 unit on the southeast side (research South Shore, Hyde Park and 60649 area), rehab it and get it zoned as a condo and you're looking at major profits.
I hear from @Brianna S that the northside's vacancy rate is excellent. Not sure about the fix n' flip market in that area though. But if you are buying up north, you'd better be ready to spend some major dough :)
