I have been here since January of 2009. I really like it here. My bf and I live in Schaumburg, but I have also lived in Rolling Meadows. While these are not technically Chicago, they are close enough. As for things to do, there really is a lot. There are zoos, aquariums, and all kinds of museums to go to, and there are many things that are free. Lincoln Park zoo is as good as any big city zoo, and it is always free, and other attractions (Shedd Aquarium, Adler Planetarium) have free days for Illinois residents. The Field Museum is very interesting (and HUGE), and the Science Museum is the largest of its kind in the western hemisphere.
As for restaurants, one place the bf and I like to go to is an Ethiopian place on Addison. It is a bit pricey, but you get a lot of food for your money, and it is excellent. There are some very interesting restaurants in Chinatown as well if you like real Chinese (not the strip mall stuff). There is also a little India, and a little Vietnam as well. We went to the Koreatown part, but went on a Sunday, when everything there is closed.
As for sports, there is more than you can shake a stick at. We have all four major sports (with 2 baseball teams), and an MLS (if you like soccer) team as well. There are also minor league teams scattered throughout the area. If you like Arena Football there is that too, but I don't know too many fans of that. It is an interesting concept though. I am also morbidly curious to see our local roller derby team in action for some weird reason.
If you get tired of downtown (not likely to happen, but you never know), you are just a quick train ride away from many neighborhoods and downtowns around the Chicago metro area. My favorites are Oak Park, Wheaton, Bartlett (very small, but interesting), and Lincoln Park. I have been here for 3 and a half years and I have so much left to explore.
The winters are really not that bad. It snows, but it is never so bad that it is unmanageable. I have been through 2 of the 3 worst blizzards in Chicago history, and they were awesome. Barely anything is open, so the likelihood of you having to work that day is slim. It is basically a day to drink hot chocolate and catch up on your TIVO (power outages are very rare with Chicago blizzards, that never happened to me).
Also, Illinois is an extremely gay friendly state. We don't have marriage equality yet, but our civil union law is all encompassing, making it indistinguishable from a gay marriage in Massachusetts or Iowa (which also aren't federally recognized). As an added bonus, there is a pending lawsuit to strike down the "traditional marriage" statute in Illinois, which will let us use the word "marriage" in an official capacity. Unfortunately, that federal recognition issue will not change until DOMA is struck down, but at least we are going in the right direction. We also have total employment protection, adoption rights, housing rights, hate crime protection, etc.
In summary, Chicago is a great place to live. Enjoy.