I sometimes find the Chicago winter tobe better than the warmer months in a few ways. Since you can always put on layers. But you can not rip your skin off when it is soooo hot! When it is 95+ degrees outside and humid I wish for a quick death sometimes.
As long as I have good protection from the wind in the winter I am fine. The temp is not the problem if dressed properly.
Some helpful links:
http://www.xterragalactica.net/cdc/winter.html
http://www.bikewinter.org/main.php
http://www.rapidtransitcycles.com/winter.html