In truth, location doesn't really matter much except in two aspects: 1) how accurately it's portrayed in the eyes of the locals and 2) how well the location's background is tied into what's happening throughout (that is, if it DOES have an impact on the story and/or on the characters). Chicago, in the case of TDF, has a relatively small role... except where Jim describes its history and impact on the story (e.g., Undertown, weather, concealed-carry laws, the Shedd's role in the meet-up/dust-up, etc.).