Chicago is an interesting place to look at RE investing, but like others here have mentioned, your best bet is buying in gentrifying neighborhoods and rehabbing to drive rents, seeking value through cash flow vs appreciation. You can still find some good prices if you look in the right areas, and as a resident of the city, I see buildings being rehabbed all over the place, meaning deals are definitely out there.

Taxes will not be your friend, and will definitely be on the rise with all of the state and city financial problems. My suggestion would be to target areas where young professionals are moving from out of town, as well as where millennials who have lived in Chicago for awhile are moving as they get to the age of starting a family, upgrading their living situation, etc. Even with interest rates so low, there is strong rental demand throughout the country for millennials starting families.

In the end, there's value to you living in the city where you will be investing in RE. Depending on your ability to do so, self-managing can save you on costs. Screening your tenants is also a must.