Chicago is a city of about 2.8 million people, most of whom have good intentions. Still, it is a big city. It pays to be cautious and aware of your surroundings at all times.
Put down the cell phone and remove your earphones when strolling city streets or riding public transit. Hide valuables and flashy jewelry when you're out and about, or, better yet, leave them at home. Keep your purse or bags close to you and in clear view in restaurants and in bars. Never leave your belongings unattended, especially on trains or buses. Be polite but insistent with panhandlers. Legitimate vendors of StreetWise—the city's nonprofit magazine benefiting the homeless—should be able to provide an official badge. (The magazine sells for $2.)
Expect to have your bags and purses searched when entering sports stadiums, museums, and city buildings. You may be asked to show a photo ID at certain downtown buildings.
At night do what you would in any city: know your destination ahead of time, plan your route, and walk with confidence and purpose. Avoid dark or empty streets and skip those tempting shortcuts through the city's many alleys.