The question of why the 'L' wasn't built underground - it is underground downtown, but it is elevated elsewhere. The main reason was because at the turn of the 20th century, Chicago was the fastest growing city in the world and they needed to put in some infrastructure quickly. It's a lot easier to build elevated train tracks than to bore underground.
I lived there for over 20 years and still have family there. I've lived in NYC and Paris prior to that. Chicago doesn't have the same excitement or glamour of other big world cities. And there's a reason for that.
Many world cities (Paris, London, Tokyo) are the nation's capitals and the center for basically everything - finance, fashion, film, TV, politics, media, etc. It's like if DC also had NY and LA. Their secondary cities (Manchester, Lyon, Osaka) receive much less attention as a result.
Since Chicago is not a major hub of one industry, let alone those that get a lot of press (TV, Film, Politics, Media, Fashion), it isn't on people's radar as much. But it is a major world city by any World Cities Index.
It will never get a lot of press or attention - except for the shootings and murders the past 5 years, which I believe is politically motivated in being reported in the press. (Chicago's murder rate isn't even in the top 20 cities in the country, but you wouldn't know that by the reporting).
It's a fine city with a lot to offer and is arguably one of the most affordable large cities in the Western world. Your standard of living is MUCH higher there than in other cities - meaning you can also afford to leave the winters for sunny vacations more often.
The winter isn't great, but not what people make it out to be. However, it does get severe arctic blasts that last a few days which you just don't get on the East Coast.
If you want a lot to do and have a good standard of living, but don't need to feel that you are in the center of everything, then Chicago is a great place to live.