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Chicago is no more or less safe than any large tourist destination in the US as long as you stay in the well touristed areas. Chicago neighborhoods change quickly and a five minute walk from a completly safe area could place you in a very different area. As long as you use your good judgement, stay in well populated areas, and turn around if you begin to feel uncomfortable you should be fine.
As in any big city, pickpockets work the streets and buses so keep your wallet and cash out of sight. The major tourist areas - North Michigan Avenue in particular - will be busy well into the night and you should have no particular concerns.
While Chicago is not as polluted as some other American cities, there are occasional ozone action days in summer, especially when it is very hot. Visitors with heart and lung conditions not used to hot weather should take note. Sitting in the middle of farmland and prarie, Chicago has a fairly high ragweed count peaking during the first two weeks of September. The first cool nights of October usually bring relief for allergy sufferers. Visitors in winter should be careful walking in residential neighborhoods as not everyone shovels their sidewalks.
Drivers in Chicago can be aggressive and honk frequently but they are typically lower key than drivers in New York and more predictable than those in Boston. Be careful on expressways and try not to cut anyone off.