Chicago is a great place to be! My wife and I moved up here over 5 years ago and love it. La Grange...eh, not so much. I recommend living in the city especially if you don't have kids. If you have kids, then it all depends on the lifestyle you want. I'd be happy to give you my take on the suburbs close to La Grange.
There's a great A&M Club here, too, so be sure to check that out if you get transferred. It's a good place to be, so long as you can ignore the taxes and corruption.