Chicago is a traffic hell with public transit getting almost as much delays as cars in jams. The food is terrible, everything is greasy and over the top.
LA is a traffic hell with hardly any public transit. The food is terrible, everything is paleo-vegan-glutenfree, tasting like cardboard and priced at $$$$.
Basically both are crap but if you have to choose one of course it's LA because the weather is so much better and if you ever miss snow, Sierra Nevada isn't that far away. Cost of living is lower in Chicago but it's not that much so if you have a decent profession your income would probably be scaled to that.
It's a tough choice of course because it doesn't include options to live in an actually nice city like Berlin or San Francisco.