I used to work in downtown Chicago and live 10 miles southwest. I used messenger bag exclusively. I now live in Arlington Heights (suburb of Chicago, 25 miles northwest of downtown) and work in Schaumburg and use rack and pannier. When I used to commute in the city, you couldn't leave anything on the bike while it being locked up without fear of getting something stolen. I had my headlight, rear blinky, and quick release rear fender stolen before. With multiple stops on the way home to get groceries and dry clean, it is just much easier wearing a messenger bag or backpack then hooking and unhooking my panniers.