You may not lawfully possess and carry your firearm in Chicago.
18 USC 926A
Notwithstanding any other provision of any law or any rule or regulation of a State or any political subdivision thereof, any person who is not otherwise prohibited by this chapter from transporting, shipping, or receiving a firearm shall be entitled to transport a firearm for any lawful purpose from any place where he may lawfully possess and carry such firearm to any other place where he may lawfully possess and carry such firearm if, during such transportation the firearm is unloaded, and neither the firearm nor any ammunition being transported is readily accessible or is directly accessible from the passenger compartment of such transporting vehicle: Provided, That in the case of a vehicle without a compartment separate from the driverâ€™s compartment the firearm or ammunition shall be contained in a locked container other than the glove compartment or console.
From the Wikipedia article 'Federal Gun Law in the United States' and without citation.
- Federal law prohibits the carrying of any firearm, concealed or unconcealed, on or about the person or in carry-on baggage while aboard a commercial aircraft. TSA has established certain requirements for transporting firearms and ammunition. Firearms must be carried in a locked hard sided case. Ammunition must be declared and can be transported in checked baggage or in the same container as the firearm as long the firearm is unloaded.
- Any passenger who owns or legally possesses a firearm being transported aboard any common or contract carrier for movement with the passenger in interstate or foreign commerce must deliver the unloaded firearm into custody of the pilot, captain, conductor, or operator of such common or contract carrier for the duration of the trip.