I live here in the city and ride the 'L' 24/7. Sure you can encounter some strange folks but that is part of the urban environment. I don't know where you are staying but if you are in the loop, it gets pretty quiet at night and sometimes people can be leary of that. If you are in the River North/Gold Coast area, there is more action.

Most of the crime you hear about in the city (murders) are gang and/or drug related and occur in certain areas in the city - none of which I am sure that you would venture into (as a side note, though, some of the near southside neighborhoods are rapidly gentrifying). Petty crime does exist - so don't look too much like a tourist - but I have seen more petty crime in Europe than Chicago.

I hope you enjoy your trip here - it is a great city - lots to see - great food (please try some local restaurants - not chains) - great people.