Hi
Welcome to Chicago,
The lakefront is no more dangerous than Wrigleyville actually I'd be more concerned about wandering through your neighborhood @ nite. Just like anything else common sense, stay on the paths, get to know your fellow bikers/joggers, at least by sight, use lights on your bike, keep the headsets off, so you can hear whats comming behind you. If you see a group of guys standing around doing nothing try to avoid them. I'm not sure, but I think the lakefront park closes @ 10 pm so I wouldn't be there after that.
Common sense, I'm sure you get the idea.
Rick