Chicago, the Windy City (for windbag politicians not weather), the Second City, the City by the Lake (Lake Michigan), That Toddlin' Town (made famous by Frank Sinatra), the City of Big Shoulders (Carl Sandberg). Chicago is the unofficial capital of the midwest, the 3rd largest city in the United States, and the largest city in the state of Illinois. a great place to live and an even better place to visit.