Welcome to Chicago!!! I just moved here a year ago and LOVE IT!!!!
Seriously, the path of least resistance is NORTH FACE. Get yourself a big North Face parka. It's worth the investment, and although they are not the most fashionable things to wear, everyone here wears them for a reason: they really are great for the wintertime. As far as my coat closet goes, it's fairly modest: one long black coat, one knee-length red coat, two thick wool jackets, one puffy Northface parka. That's definitely enough to keep me warm through the winter.
The people here are NICE. Well, you're from the south and people there are nice as well, but I'm from California -- so the attitude of people in the respective locations is a BIG CHANGE!
I think you will have a great time!
Why are you moving here? Work, family?