If you don't have a lot of time to get out of the city, climb bridges into the wind. Even better, put loaded panniers on the back, so that you're adding 30-40+ lbs to the bike. If you do a circuit incorporating multiple bridges on a regular basis, especially on a heavier bike w/added weight, you will be able to climb and fly when you ride hills in Wisconsin in a light road bike. Been there, done it - multiple summers. It really helps a LOT.
I'd also agree with Brett's tip about riding the lakefront path on a windy day - into the wind.
Brett - about the Damen bridge, there's almost always a headwind, which really adds to the workout.
There's also a bit of a hill on museum campus drive just before shedd aquarium. If you're heading north on the path you can turn onto campus drive just before soldier field. At the top of the hill, you can get back onto the path heading south or you can loop around the drive in front of Shedd to get on campus drive going south. It's not ideal but it's convenient.
There's some car traffic but it's fairly light especially earlier in the mornings.
I seem to recall a bridge on Damen on the south side over an expressway (I-55?) that was larger than most
Check out the SW suburban area around Palos Hills. IIRC there are a couple of long steep ones out that way, but it's been years since i used to go out there on my fixed...
Otherwise, about the best this part of the world may have to offer for killer training conditions is lotsa wind.