Chicago is no more or less safe than any large tourist destination in the US as long as you stay in the well touristed areas. Chicago neighborhoods change quickly and a five minute walk from a completly safe area could place you in a very different area. As long as you use your good judgement, stay in well populated areas, and turn around if you begin to feel uncomfortable you should be fine.

As in any big city, pickpockets work the streets and buses so keep your wallet and cash out of sight. The major tourist areas - North Michigan Avenue in particular - will be busy well into the night and you should have no particular concerns.