Well, to each his own. I'm from Oakland, CA and I am fine with Chicago weather. It can get uncomfortable, but I'll take that as a trade-off for my near-downtown apartment in one of America's greatest cities at half the cost of a comparable place in NY or SF. The summers are actually better--Oakland will get these horrible 90-100 degree heat waves--and the problem of winter is easily solved by adding more layers.
Just wait until you become accustomed to people using the phrases "lake-effect snow" and "humidity index". As a midwesterner for the first half of my life and Chicago native for a decent chunk of that I can say with certainty that Oakland weather beats Chicago weather in just about every possible way. The only thing I actually miss is fall; there is something really pleasant about a Midwestern fall (I suspect it's even nicer in the northeast) with the leaves changing color and falling, the first few brisk days when the scent of burning leaves and fireplaces drifts through the early evening, etc.
I've been living in Chicago for 6 years now. I've been through 6 Chicago winters and 6 Chicago summers.
You don't really get lake-effect snow in the city. That's more of a problem for the suburbs. As for humidity; it's not an issue as long as you wear the proper clothes. (Summer clothes need to be breathable. In particular, jeans and a T-shirt will not keep you cool.)
