MidWest is spot on with his advice. Lou Malnati's has the best deep dish pie. Giordano's is a distant second-best IMO. A "Chicago-style" hot dog means every fixing on it except no mustard. It's probably not impressive to out of towners, but alot of born and bred Chicagoans grew up on Vienna Beef dogs and the many scattered dog joints around the city. The Italian beef sandwich is a bun loaded with thin-sliced roast beef, giardiniera, and sauteed sweet peppers. The sandwich is dipped into the juice that the meat was cooked in, so expect the bread to be wet along with the rest. Al's Beef is the best place to go and they have locations around the city. These are the three food groups of any true Chicagoan. If anyone starts telling you about some sushi place or other bullshit, they can go fuck themself.
Closing time Sunday through Friday is 2am, but a few places have a special license to be open until 4am. Closing time on Saturday is 3am, but the places with the special licenses can stay open until 5am. Friday and Saturday are the best nights for going out. Thurdays are good if you go near a college like DePaul in Lincoln Park. Sunday nights are good at spots that have an industry night. It is such a big city that you can typically find something happening somewhere every night of the week. This winter has been one of the worst here in a while. If there is a snowstorm dropping 5-12 inches or negative temperatures, crowds can be a little sparser and the women will be more covered up.
When you go out, take a taxi or the subway (locals call it the "L"). Parking is very difficult in some neighborhoods and if you have to pay for it, it will be expensive. The street meters usually have a limit on how far in advance you can pay for, so this might force you to have to keep running out every few hours and buying more time.
All previous recommendations are good choices. Keep in mind logistics and try hunting closer to your accomodations. Keep in mind some women come into the city from the suburbs with a group of friends to party for just the night, so separating them from their group for a bang can be difficult. She might not have a ride home. Wicker Park, Bucktown, Logan Square are to the northwest of downtown and have alot of hipsters, artsy, and alternative chicks. They are pretty upfront and have no problems with ONS. River North is just north of downtown and has some of the best clubs and lounges in the city. The women in River North tend to be more like Barbies, models, and sugar babies. Lincoln Park is north of North Ave. There are lots of young professionals and also the college girls going to Depaul University. Lakeview/Wrigleyville is even further north and has alot of people in their twenties and thirties. There are tons of bars in this area, especially close to Wrigley Field. The Loop is the epicenter of the city and tends to be rather dead outside of Monday-Friday business hours. Crime is very low in all of the aforementioned areas. When you hear about all of the murders and shootings in Chicago (Chi-raq), that is mostly on the far South Side once the street numbers start getting higher. These areas are mostly African-American and rundown.
Map of Chicago "L"
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but I work in Manhattan. I'm no stranger to harsh winters. I spent a few weeks in Pittsburgh a few years back in the middle of January. That was brutal. Drove out with a coworker in his Ford Excursion diesel. Plugged in the block heater overnight and it barely turned over in the mornings. 
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