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As someone that biked in Chicago for over a decade... You make your bike harder to steal than other bikes. Very few bike thefts are targeted; they're largely opportunistic. If it's a targeted theft, they're going to get your bike.
Start by getting a good lock. If you're riding a bike around that's more than about $1500, spring for the Kryptonite New York series of locks. I'd say get a chain and a very small shackle, because that gives you the most places to lock your bike. When you lock up, remove your front wheel, and run the chain through your rear wheel and both the rear and front triangle, and through your front wheel. Make sure that what you're locking to is sturdy, and difficult to move or cut quickly; city bike racks (the steel ones that are set into the concrete) are pretty good. For buildings that have exterior gas and water pipes, those are pretty great too. Take your seat and seat post with you. Get the tiniest, most uncomfortable-looking clipless pedals you can (Crank Bros. Eggbeaters are a good start, I had Speedplay Frogs before they were discontinued), and wear cycling shoes everywhere; as dumb as it sounds, a bike that someone can't easily ride off on is less likely to get ripped off.
Don't leave your bike locked up outside overnight. Don't leave your bike in a garage, in a fenced-in back yard, or on a back porch. Set up a place inside your house to store your bike (yes, this means that you need a large shower mat to catch the melting snow in the winter). If you commute to work, see if they have a place inside where you can keep your bike during your shirt.
Declare your bike on your homeowners' or renters' insurance, and make sure that you specify replacement value, and exact duplicates rather than equivalents.
Yes, Kryptonite locks can be picked. The people that can consistently pick the new ones quickly are very unlikely to be ripping off bikes.
It's not fool-proof, but I commuted to and from school in the loop, and to and from work in Skokie, and had a grand total of zero thefts across two high-end Cannondales, one mid-level Fuji, and a Specialized StumpJumper Pro in the years that I lived in Chicago.