Like many cities, it can be as expensive as you care to make it, but can also be quite reasonable if you are careful.
I lived in Chicago for a couple of years before I ended up living on the road full time (yay per diem!) and then moving to DC. I rented one room in a three bedroom shared flat in Old Town (2 minute walk to #11 bus to Loop or 5-7 minute walk to Sedgewick El Station) for $450 plus my share of utilities ~$100/month. The apartment had in-unit washer and dryer and a large backyard with firepit that we shared with two other units. Within a short walk from my apartment I had Lincoln Park Zoo, the Botanical Gardens, Lincoln Park, a playground, the beach, and a bunch of bars and restaurants. The nearest grocery store was about a mile away, but was right on my bus line between work and home.
If I'm remembering correctly, studios in my area were running $1,200 - $1,500 and with time and effort, it would probably be possible to find a smallish, oldish studio in Gold Coast/Old Town/Lincoln Park for ~$1,000 per month.
If you can get by without a car, that generally compensates for the higher rents as compared to a LCOL area. Beyond that, most prices are relatively the same. There are a ton of free/cheap entertainment options available, especially in the summer. I found grocery prices to be roughly equivalent to what I was used to from my small town (as opposed to NYC where I almost died when a medium sized box of Cheerios were $8).