Listen, most of us come here for the conversation and debate, the drama and the fights, and the free beer. Oh: you didn't get one? I THINK we just ran out. Sorry.
Seriously though, everyone here is on this forum to talk, discuss and slag off each other's music, occasionally to agree that someone's music is worthy of their immense taste, and nobody takes things too seriously. We're a friendly, if totally dysfunctional group, and I wouldn't even be too surprised if someone was in or heading to Chicago and would meet up with you, though I'm in Ireland so I can't. But yeah, going to a gig alone is no big deal. I've been to plenty. You'll find - if it's still anything like when I went, approx 500 years ago - that people will probably talk to you and get to know you when you go. I've had people comment on say a t-shirt or jacket (used to have one I embroidered myself - yeah, what of it? It was fun. No it's not gay. You take that back - sorry, where was I? Oh yeah - of Bruce Springsteen, and got a few good comments about that) or just see you're into the band and may raise a beer, whatever. Even if not, don't be discouraged. You'll find loads of people are going to gigs alone. Hell, I used to travel to London from Dublin to go to gigs on my own, gigs nobody else that I knew would be interested in.
Like they say, just be yourself, enjoy it and get into it, and the more gigs you go to the easier it'll get, and you'll wonder why you let the fact that you had nobody to go with stop you. And then you'll be on your way.