For triathletes, Chicago's lakefront offers the ultimate open water swim - Lake Michigan. Combine that with the Lakefront Path, and you've got an excellent (but cold) open water swimming area right in Chicago's back yard.
The best place to go for open water swimming resources in Chicago is the aptly named Open Water Chicago web site - http://openwaterchicago.com/. Go there for swim updates, open water coaching, and other useful information.
Also check out the Lake Michigan surface temperatures in the Chicago area from CoastWatch - http://www.coastwatch.msu.edu/michigan/m54.html