Fastetti is right, Chicago has a lot to offer; nearby hunting opportunity is not at the top of the list. When I was younger (and single), I had considered moving into the city. It's true things are more expensive, but better wages offset that. I've lived in multiple areas in both Wisconsin and Illinois, and they all have their plusses and minuses.
Anyways, as has been pointed out, there is some decent hunting nearby, and if you drive a little ways (hour or two), there are some good opportunities. (and if you fish, you will be real close to the Great Lakes).