Chicago is NOT a place to wander if you don't know where you are going.  Plan your route ahead of time and bring a cell phone.  Most suburbs to the north and FAR west are fine.  Close-in burbs to the west and south are generally worse areas.

The last thing you want to do is look like an outsider who is not sure where they're going.

Neighborhoods in the city change in matter of blocks and you can go from a very nice part of the city to a very dangerous part.  If you find yourself in a questionable part of town, try to remember how you got there and get out.