Winters in the Midwest are no joke, and visitors are quickly introduced to the concept of “wind chill”: The temperature may be above zero, but the wind makes it feel much colder. Bundle up and stay inside if you plan to visit anytime December through February. Getting out of the city for a day trip can be easily accomplished on the Metra rail trains or with a car rental, and there are great restaurants, museums, and parks in the suburbs all around Chicago.