You can drop off the car in the city. There is a Hertz office in the Westin on Michigan Ave, which I think is very close to the Drake. We generally stay at the Park Hyatt, and pick up our Hertz car when we are ready to leave the city. We used to use Avis, but their office is quite a bit further from where we stay, so not nearly as convenient.

We have never had a drop charge when renting in the city and dropping at ORD or the reverse. It saves substantial time to drop the car in the city.