The Windy City is reach of surfspots. Word of caution - you may be ticketed for surfing here. As of 2012, only four Chicago beaches are officially open for surfing:
Kathy Osterman Beach - nice sandy beach should work on N, NE winds.
Montrose Beach - half-mile sand beach with breakwall. Works on NE, N, NW. Montrose Beach is the most popular windsurfing location in Chicago.
Rainbow Beach shallow sand beach with offshore breakwall. Works on NE, N and NW.
57th Street Beach - may work on E, NE, SE.
Check out this story Chicago surfer surprised with arrest. There could be legislative change from 2012. So maybe more beaches are officially open for surfing. Still, be warned, and read the beach signs.