Chicago drone owner here.
Be very smart, and careful, flying downtown.
I'd recommend NOT flying during busy periods, or down very busy streets (Ex: Michigan Ave).
Also, GPS and Compass interference are very apparent downtown -- make sure you perform a FULL pre-flight checklist before takeoff, ensuring the GPS and Compass are working 100%.
Lastly, I've attached the City of Chicago's ordinances on UAV's.
It mostly mirrors the FAA's rules. If you're a Part 107 holder, you're exempt from the ordinance.