The first thing I would recommend is to read
this article about how Chase Freedom points can be combined with Ultimate Rewards points, which can be transferred into Continental, British Airways, or Korean miles. Then read more about the
Chase Sapphire Preferred card and apply for that. Continental miles will become United miles on January 1st, and can be transferred to United now. Continental/United would be a good choice for someone based in Chicago. You could later get a United credit card for another bonus to add to your stash of miles. Keep in mind that if you apply for more than one Chase card in a 30 day period, you will have to talk to someone at Chase to explain why you need 2 cards. Read more on The Points Guy's blog and look at his links to other blogs.
Here is a thread about the current American sign up bonuses. You might even want to apply for this before the Sapphire as the deal could be pulled at any time. American also has lots of flights out of Chicago.
Try to keep a couple credit cards open long term to increase the age of your credit lines and it will help your credit score. Many of us cancel credit cards after about 11 months before the annual fee comes due, but we all keep a couple accounts open long term (mine are no annual fee Hilton cards).