My last winter in Illinois there were two weeks where the high temperature never got up as high as -15ºF. Pants freeze to your legs, glasses ice over in seconds, even if you're sufficiently bundled your eyeballs can get frostbite.
People underestimate how much nicer the world is away from the Chicago-Boston-DC triangle.
Seems like the coldest high temperature in Chicago's recorded history was -11ºF
FWIW I've lived in both SF and Chicago and quite like Chicago's climate/seasons and really liked the city life much more than I did in SF (although the stuff a couple hours from SF is fantastic), and I'm not at all alone (I live in NY now)
I was in a small town downstate; the lake can actually moderate temperatures in Chicago proper. Downstate Illinois can have more Fargo or Minneapolis weather. Warms up faster in the spring, though.
People underestimate how much nicer the world is away from the Chicago-Boston-DC triangle.