Isn't violence in Chicago a big issue?
It is, but there are also many incredibly safe areas.
It's a concern only if you're in a gang or in the few bad neighborhoods on the South and West sides. Crime and violence in Chicago is overrated. It's not like random people are randomly getting gunned down everywhere. It's just like any other city: bad parts, and don't go down dark alleys at night.
Chicago trumps the Twin Cities for me. More to do, more diverse, global city, larger but not NYC/LA insane, better weather, you name it. I will always pick the Second City.