Chicago seems like an obvious choice, I knew someone years ago who had been a messenger in Denver (closer to good skiing); I'm of no use to you in finding a job and am unable to give any advice on your prospects in either of those locations. I suppose I might still know someone who runs a service in Boston (I've been told its a lousy job there now though).

Back in the day, without experience and a strong working knowledge of the area, it came down to knowing people, being persistant, and getting lucky. But that was a long time ago.