You will need strong sturdy and warm snow boots, an uber-warm coat like a knee or calf-length puffer, & something to cover your head, ears, neck, and gloves. The cold and snow are really unbelievable. If you will have a car, make sure you travel with a small shovel and you may even need chains on your tires.
Of course, in the summer, it is so hot you can fry an egg on the sidewalk.
The lake is your friend! Cooler in the summer and warmer in the winter.
If you'll be at one of the lakefront campuses, you'll be walking a lot...and close to some good shopping destinations and great recreation. Take your time and buy what works for your new lifestyle.
Bring a bike!
It depends what time of year you'll be moving here, but I'd say don't worry about buying all of the clothing you think you need ahead of time. I'd recommend purchasing off-season items once you're here...places like Macy's do huge discounts on winter gear once it starts to warm up. A full-length down parka with a hood will become your best friend Other outerwear recommendations... a wool peacoat for when it's chilly but not freezing, a leather jacket that can be dressed up/down and accommodates layers, and a waterproof jacket/shell for the rain.
Chicago is a very walkable city, so cute (but comfortable) ankle boots/oxfords/flats are always popular. Rainboots are a must as well as the waterproof/warm snowboots that people mentioned above. And Smartwool socks!
I think an overall Chicago fashion mantra is "layers, layers, layers!" No need to sacrifice warmth at the expense of looking good, either. I go to plenty of events where girls bring a change of clothes or shoes and just stash their winter gear in coat check (myself included)
I'm close to Chicago and have only survived this winter thanks to my long down coats (I have one in black and one in dark brown), my Sorel boots (two pair!) and Hunter wellies.
I've been wearing tons of layers, and shapewear is my new long underwear. I don't have chains on my tires, or anything like that and I have a small vehicle, no SUV necessary. The streets are cleared quickly.
I moved from CA to Chicago last year and it's been very interesting to notice the sartorial differences between the two! I found that most people here are dressed quite normally, not like abominable snowmen, and your body adjusts to the temperatures pretty quickly. Pretty soon you'll be thinking 50 degrees is warm
I bought a lot of things in preparation for my move but other than a long coat, fleece-lined leggings or tights are the only things I really rely on. Also, black leather boots with good traction that you don't mind getting a little dirty will carry you through a lot of situations. But I swear by the fleece-lined leggings!!!
Agree again with the layers! It gets annoying in the winter, because you need all the coats and scarves and gloves to not freeze to death outside but it's often too warm inside for even a thicker sweater.
I would also like to add that Chicago is far less fashion-y than the west coast. That's not to say people don't look cute, it's just more laid back somehow. It's hard to explain, having grown up there and living out here now. I would move back in a hot minute if I could find a good job there!
I moved from CA to NY for law school over 3 years ago, and I created a similar thread back then! Time flies...haha.
Since relocating to NY, I've found that hats & scarves are lifesavers against the windchill. Nobody wears hats in CA for warmth, but wearing one makes a world of a difference in very cold weather. Keep in mind, it's going to be the windchill that will freeze you and not so much the bare temperature because the wind seeps into your clothing. Hence, as others have posted already, layering to minimize windchill is paramount. Afterall, you are moving to a city that is nicked named "the Windy City"!!
As for jackets, I don't own a down jacket, but I own several heavy duty wool & cashmere blend coats that all cover the bum area. If you're getting a wool jacket, make sure it's insulated (also known as thinsulate) so you'll be able to retain the heat.
I moved from CA to Indiana 8 years ago, and layering was and still is my best friend. The winters get easier the longer you live here, IMO. Then again, this isn't Chicago, The Windy City. I agree with others..scarves, gloves, and hats...and a fantastic mug for tea!! good luck!!!
Oh, and UGGs have been my best friend through every winter. I used to hate the way they looked when I lived in Pasadena growing up...but now they look great to me (since they keep my toes toasty, of course!).
I moved from Chicago to South Florida this past summer (probably the luckiest timing ever), and I would recommend a purse with a long enough strap to go over your shoulder with your coat on. If you get a down coat, they tend to be bulky and a purse that fits perfectly normally will be difficult to get on...plus, it helps to have something decently weatherproof...