(If I'm talking to somebody from outside the Chicago area, then I simply say I live in Chicago. I hardly ever say Illinois, since the state of Illinois outside of Chicago may as well be a foreign country.)
Hence the advantage of NYC over Chicago. Chicago is a great town I hear, and I'd like to visit someday, but while I like corn as much as the next guy, I doubt I'll be touring the rest of the state. Upstate NY, the Hudson River Valley, and Long Island's east end are very nice in comparsion, although I hear Michigan's upper peninsula is worth a look.