There is some bias since I am from Chicago, but having been in New York as well, I'd still have to ADVISE CHICAGO!!!
By compare to New York, Chicago is a friendlier place with midwest charm - yet w/a keep it real attitude, (good for business and friendships alike) much cleaner and although expensive NOT nearly as high in cost of living as New York City. Down to earth place with EVERYTHING to do that embraces ALL kinds. You kinda walk outside and run into something. There's always something happening. Even if you opt for a pool hall amongst strangers, you will have a good time. Transportation - the "L" and bus system gets you everywhere pretty much 24 hours a day (not in some of the hoods after midnight, tho). Traffic is rough, but you CAN move. NYC is nearly impossible. Not to mention they drive like they have a death wish. Aggressive, fast and even creative driving is important skill. But to drive like you can go through people like Casper is asking for heart failure. The lakefront!! And attached grass knolls and parks. It is far and wide, appears clean and simply beautiful. The view of the horizon is endless. The large rocks and piers in neighborhood beaches gives you the feeling that you personally own the place. The public art - statues, giant picasso piece, heck the bridges over the Rivers. Chinatown's entryway... The parks, boulevards are cleaned up and richer than ever. Re-Progress has hit this town in the best way. Where was once gang and drug infestation, they have taken it back. (orig to clean up to attract the Olympics, now major Investment Oppys and a reversal of the suburb escape back to the city. The architecture of the homes, buildings are world reknowned. Not just downtown, but in neighborhoods, suburbs. Culture - arts, main library/many neighborhood libraries, every religion and house of worship available, Chicago symphony, booth play houses throughout as well as big Broadway stuff, zoos, museums (oh the museums, not stuffy simplistics - w/free days too?!), music venues in old neighborhood theatres...it's endless. Getting around is an easy figure. The streets are made like a checker board grid - YOU CAN'T GET LOST. There may be 10 or so streets on angle, yet consistent. Unlike the separation and confusion of the burroughs and bridges and tolls (OH MY!) of NYC - to a newcomer, it's a nightmare. In NYC, one side doesn't know the other if you dare ask direction. Chicago is also a smart city with amazing schools (both private and some public). University of Chicago* Northwestern* DePaul* Loyola. Open minds. Music!? Please. KNOWN for Jazz, blues (see it live in Chicago if you hadn't experienced the love of this music), house and now hip-hop (Kanye, Common and well, Twista) Rock and acoustic is brilliant. I saw a cover band that done the group "War" and you close your eyes and damn, it WAS "War". Bands can sustain a living here because the city is a proud place that supports one another on many artistic and business fronts. For instance, you can't get real carmel/cheese popcorn anywhere else but Chicago. Incredible, GREAT FOOD THATS AFFORDABLE. PIZZA?? Whew. We won't go there. The food standard is high. So it's hard to get bad food. It's proud for cooking good food, no matter the location, appearance or price of the joint. Diverse is a given. Not becuase all types of people/races both rich and poor just live there (that's many places these days), but all can live amongst each other fairly harmoniously (mainly on the North and Northwest sides) with exceptance and fair treatment. It's nothing new to Chicago. They don't have to get used to each other, It's an OLD city that opened their arms to immigrants in the 1800s just as New Yorks' Ellis Island did. It's a proud place to be a person of color. With the black political history in all it's glum and gorly - a lot has been taught, learned and respected regardless of the upsets - Mayor Washington's early death, both Farrakhan and Jesse Jackson in the news. They have helped bid an overall pride amongst the community that has allowed folks to hold there heads high and have a self awareness and worth that's unsurpassed. Living in the south now, I can see the difference. I'm bi-racial and lived on every side of town (including the hoods) worked with, went to school with and entertained along side every kind and with the exception of the suburb of Cicero and Berwyn (I hear has changed up some), never felt DIFFERENT or out of place. I'm sure the same is true in New York to some degree...but why deal with the dirt, the general rudeness of many (not all - got homies from/in NYC) and the outrageous cost of living not to mention the unfortunate direct terror threat that is perceived there on a level stronger than anywhere in the US. The opportunity to get involved in your true local polictics is open since Chicago has an alderman system. With Senetor D-Barak Obama on the scene (despite Chicago Mayor, R-Daley Jr.) there is a breath of new life for this city as well as the state of Illinois. NY does have D-Mrs. Clinton, and that's good. Don't know a whole lot around the politics in NYC to do much compare.
Bottomline - try Chicago for 30 days, first as a tourist getting in all you can, than as a resident (Best result 3 mos) and you'll see for yourself what "living" really is!
Chicago!