I lived in Chicago for a couple of years after college. It can be expensive like most big cities, but grocery costs aren't too bad. Public transportation is nice, because owning a car is super expensive (parking, taxes, gas, etc). Plently of restaurants, bars, clubs of all price ranges. You can go the beach easily during the summer. Sales tax is kinda high, over 8% if iirc. The winters can be cold, but not that bad, just get a decent jacket. I enjoyed my time there, I'm sure going to school there would be fun. I'd say Chicago is one of the most "livable" big cities.
Edit: Yeah, no guns. You can bring knives, spears, proximity mines, etc for you own personal protection.