Tornado risk has been on a lot of minds after the events in Moore, OK. For the first time that I can recall, the local TV station (Champaign) ran an advertisement for pre-constructed storm shelters.
In 2011, we produced county-level tornado track maps for all counties in Illinois to measure the historical risk of tornadoes across the state. These maps were based on data from the NOAA Storm Prediction Center for the period of 1950 to 2010. For example, below is the map for Cook County that shows tornado tracks and touchdowns, color-coded by (E)F-scale.
To me, the strongest reminder that a strong tornado can pass through Chicago is the April 21, 1967, Oak Lawn F-4 event that killed 33 and injured 500. Here are some pictures of from the Oak Lawn Public Library of that event that look a lot like the damage in Moore, OK.
You can see the rest of the maps on the Tornado Maps page at the Illinois state climatologist website.