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I stayed at the Hyatt downtown a few years ago and we rented a car. We also rode the L and went to a cubbies game - after the game go to one of the neighborhood bars. Great drinking/food and 2 of the ones we went to had batting cages in them. AND went to an EXCELLENT hole in the wall Italian restaurant that must have been in a bad part of town because they had to unlock the front door to let you in ;)
Chicago isn't any more dangerous than any big town. Pay attention to your surroundings and you're fine.
The Hyatt might have a shuttle - check that too.
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