I came from a warm climate as well...

If you drive: * Parking sucks, doubly so in the winter.
* People get shitty about "their" shoveled spaces in the winter. * If you don't drive every day, street cleaning will get you tickets all the time. * Not a ton of places have parking lots (most grocery stores do though) * traffic is bad, no doubt about it, but everywhere is convinced their traffic is the worst, its a city thing.

If you don't drive: * getting groceries sucks, get used to going to the grocery store often, as you will be carrying small amounts of groceries back and forth, or getting a foldable cart.
* The el is great, but if you don't live nearby, it can be problematic. * I think the buses suck, they don't really, but some people don't like taking them, if you're one of those people its a thing to consider.

Generally: * Finding an apartment if you don't know the areas is hard. Apartment finders will take you to the semi-shady parts of town and not tell you.
* Neighborhoods go from good to bad in strange ways. Its less of a problem now. * If you feel strongly about gentrification... I'm very sorry, all the "up and coming" neighborhoods are being actively gentrified. * the winter is bad. * The summers can get bad. The "Chicago" summer of 80 degrees happens like... 3 times, and then its 90+ degrees and humid. Honestly, like 3 places in the US have good summers, the rest are shit for some reason or another.

Little Nitpicky shit * People get really fucking uppity about people who live in the suburbs and say they live in Chicago.
* Cubs fans and Sox Fans argue and repeat the same tired shit every time they fight with each other. * Chicago hot dogs turn chicagoans into huge assholes if you dont like them * I grew up in a humid climate (like florida), and people here pretend like it gets SOOOOOO humid.

Honestly, every place has downsides.