Chicago has been known as the Windy City for about 150 years. The strange this is; Chicago is really no windier than any other US city.
So what's up with that nickname?
Although it has a somewhat complicated history the basic idea behind calling Chicago is in reference to the highly corrupt politicians in Chicago due to mob involvement.
Either way, it was meant as an insult and never had anything to do with the weather. Which is why most people from Chicago refer to it as Chi-Town rather than the more insulting "Windy City".