Being an Illinois resident, living near Chicago, I strongly recommend....
(1) Apply for a FOID today! It can take 60 (or was it 90) days for the State Police to process your application. You cannot legally purchase or possess any firearm or any ammunition without this card. IF you find yourself in a situation where you quickly need to get a gun, the FOID process will leave you crippled, or committing a felony, and they will prosecute.
(2) Chicago limits legal knife length to 2 inches of blade (or thereabouts). In your house you can have a sword, but on the streets you're looking at time in the slammer if you have a 2.5 or 3" blade. Stun guns, nunchuckas, & clubs are also illegal to carry. This means that you have to either have something that does not appear to be a weapon, or carry a weapon & risk jail time. Get educated on the law code, and investigate options.
On the street:
(a) learn to use a Kubotan and carry it,
(b) always have a large diameter pen, with a pointy cover, in your pocket (improvised Kubotan).
(c) take up martial arts.
At home: baseball bats, good locks, good lighting (like an M6 Surefire), a large dog, etc.
(3) IF you find that you eventually want a gun, consider whether you're thinking of needing it only at home, or also on the street. If you need it on the street, you'll need a handgun, which is illegal for you while you live in Chicago. If you're going to get a handgun, get educated & get training & learn how you can hide it on your person. Also, if you're thinking of using it indoors, then you want/need electronic hearing protection. This will protect your hearing, while enhancing your ability to hear.
(4) If you're going to get a long arm, you've got to choose either a shotgun or a rifle. For shotguns, I'm going to recommend a Remington 1100 with a 16" barrel and a magazine extender. It is easier to use & has lower recoil than a pump, and is extremely reliable. A 12 gauge is best, but a 20 gauge (smaller than the 12 guage) would be sufficient if recoil is an issue you can't overcome. For rifles you might want to consider a .223 semi-automatic carbine (like a 16" barrelled AR15). It won't penetrate as many walls as a pistol or larger caliber, but is easy to handle, effective, and has light recoil.
Keeping observant and recognizing that bad men exist are your primary defenses.
God Bless,
Richardson