Chicago is a city in Illinois. It is the third largest metropolitan area in the United States of America with a population of over 8 million people. Trying to get through Chicago can be a challenge, but with a little bit of luck and research, you may find yourself in a great hitchhiking spot.
North towards Milwaukee
If you can make it to the intersection of US 41 and I94, you will be in a perfect spot to easily get a ride into Milwaukee and quite possibly much further. If you cannot make it to this interchange, standing anywhere along the side of US highway 41 or at a gas station along it will probably net you a long distance ride up this way as well. Anyone trying to avoid the toll roads will be taking US 41.
Try to grab a short distance ride to the Flying J in Gary off Grant Street and I80/I94. From here finding a long distance ride to all points East should be easy.
There is a rail that runs from Chicago downtown to Lake Station in Indiana. It's a 30 min walk from there to an area with four or five truck stops and on ramps for I80/94 and I90. The rail is South Shore line and costs $6.