That would be an interesting list to compile.
It's been a while since I watched, but I recall a number of things.
Many scenes are definitely filmed on location here. One of the early ones was at night time on the north end of the Michigan Avenue bridge looking toward the southwest, with Anthony Edwards and George Clooney, and a bunch of lighted buildings in the background. There is a niche in the railing where they stood.
Memorable as well were scenes of Clooney at Christmastime next to the decorated Water Tower (
http://en.wikipedia.org/wiki/Chicago_Water_Tower).
I remember Goran Visnjic in a scene on Dearborn Street with the unmistakable tower of the Polk Street Station rising in the background. I'd place him around 700-800 South Dearborn. In a week, the Printers Row Book Fair will be running on that spot.
I found this in a web search:
"The hospital who`s exterior is seen on the show is the University of
Illinois Hospital at 1720 W. Taylor Street, which is part of the
University of Illinois Medical School. (This is not to be confused
with the University of Illinois at Chicago (UIC) Hospital, which
is eight blocks to the east). The U of I hospital is about a
half-mile from the real Cook County Hospital."
Lots of L stations are featured, including dramatic runs up and down the steps, and you can often identify the exact spot.
Many other examples.
I also remember an early episode with George Clooney's character referring to "the corner of Dearborn and Clark." Interesting, since these streets run parallel.
I vaguely recall mention of an address that is non-existent, since it would be located out in Lake Michigan.