The weather in Chicago can be hot and humid in the summer and extremely cold in the winter. Chicago's nickname, the Windy City, originally described verbose politicians blowing a lot of hot air, but it also certainly describes the city's weather—gusts off Lake Michigan are occasionally powerful enough to blow you off balance (the steel-and-glass canyons of downtown are especially treacherous).
The best time to visit is May-October, when temperatures range 60-90 F/16-32 C. If you plan to go to Chicago for Christmas shopping, be aware that the average temperature in December is 29 F/-2 C, though the wind will make you feel much colder. January is the coldest month. If you're visiting in March and April, it is wise to take a coat.