Breezy,
Welcome to another fellow Chicagoan! There are a ton of options for you but our winters here can be pretty brutal and really mess with your trees so dont be bummed of you kill a few while you're learning!
If you're in the city you should try and check out one of the Midwest Bonsai Clubs meetings at the Chicago Botanic Gardens (I think on Monday nights
). There are a few clubs in the area but I think that would be the closest. Plus there are a few spring shows coming up and there's always trees for sale there! Just check their website and the site for the Prairie State Bonsai Society, should give you some good info. Best thing to do is to talk with other members and see what they have success with in conditions similar to yours. Back to your question at hand though, do you have good sun all day, part of the day or is it fairly shaded? That will be the first real factor in making your decission as some trees need constant sun and some prefer more shaded conditions. Best of luck and keep us posted on your choices!
~ Jay