As far as winter riding goes, its bearable up until early February- then the temperature hovers around 2 or 3 degrees until mid March. They salt the streets pretty heavy before, during, and after every snowfall so if you have some exotic steel frame get yourself a beater. The terrain is mostly flat so you can get away with a high gear ratio. That said, it is an incredible city for riding. Lots of bike lanes in the streets (unlike NYC or LA) and most motorists are pretty tolerant of bikers running stop signs, etc. Look out for the bridge gratings over the Chicago river (there's about 30 bridges downtown), I've heard about some nasty spills on them. Bike thievery is rampant! I had my rig stolen last week so do not **** around with cheap bike locks! Here's a LBS that performs cleaning services, they have a cool bike cleaning station: http://www.boulevardbikeshop.com/
Otherwise, welcome!