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.
Northwest towards Madison
You could probably take the I90 West and then North out of Chicago, but it is preferable to stay off the interstates where it is illegal to be walking, and go for another direct provincial highway. Instead, follow the #14 or, better yet, the #12 highway northwest out of the Mt. Prospect suburb -- each highway ends in Madison.
You can get to to Mt. Prospect from downtown by taking the rail transit Red Line North to Howard (end of the line), then Yellow Line to Dempster-Skokie (end of the line), and flag down a bus heading west on Dempster, which turns into the #14. Since most of the traffic leaving the city here is headed to nearby suburbs, walk or get a bus (if they exist) a few blocks north to get to the #12, with more outbound traffic.
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 (Miller stop) 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.