Lived in Chicago for a year and loved it and this thread is making want to return, as has been said November can throw all sorts of weather at you, from pretty average to icy cold.
You will love it.
Of course it can get windy being next to the lake ( not a lake as we know lakes, lets say a sea ), but the term 'Windy City' is I am sure more to do with politicians that were blustering over something or other and the press termed Chicago the windy city and not a comment on the local weather.
Love Chicago, the architecture tour along the river is great. It is called the windy city due to the hot air that came from the politicians. nothing to do with the weather (though it is very cold!)