Chicago

Layers. Wear thin clothes under a sweater and sweatpants with a coat and regular pants over top. You need the top layer to cut the wind. You need a hat, one that covers your ears, and if you have any cloth masks leftover they go a long way to keeping your lower face warm.

Waterproof beats warm for footwear, but ideally both. Good hiking boots work well if you already have some.

All train stations and some bus stops have heat lamps you can turn on, look for the big button.

For fun things? There's music and food and museums all over. Usually I recommend the architecture tour, but maybe not in February.