The Midwest has its own flavor, and I love it. We're pretty hardy folk around here. It somewhat depends on the metropolitan area--I'm up in Wisconsin area, about 3 hours away from Chicago. Chicago isn't my cup of tea, but from what you are interested in, it sounds like it might be a good fit for you. It's not called Windy City for nothing, but there'll also be lake effect which can help keep the temperatures warm. I think it avoids some of the arctic winds that we get up where I live.
There's definitely a LOT to do down there. Going to be more expensive than other Midwestern cities. But in Chicago, too, you're quite central to a lot of other cities (Milwaukee, Madison, Indianapolis, Cincinnati, and others). Lake Michigan is beautiful, and you'll hear it called "The lake." There are a ton of universities down there, so plenty of intellectual activities--audit a class, get another degree, hang out with grad students or professors.
Plenty of museums and historical sites down there.
I don't know much about what people are like down there (they're flat-landers---quite a rivalry between Wisconsinites and Minnesotans and Illinois residents!), but I know that even if we appear standoffish, it's mostly because we're incredibly self-resilient and focused. We've had to battle out the winters, and it makes us a bit cocky and self-assured and a wee bit pretentious about our ability to withstand cold (though we complain like the best of them!). I've found, though, that if you need help, we tend to rush to do our best. And we, ourselves, have a hard time admitting when we need help. We also say "bubbler" for drinking fountain. And, if Chicago is anything like my neck of the woods, you will hear "real quick" and "once" more often than you'd think. "Come here real quick once."
The Midwest is an awesome place to live. I think it's great to have a dream to work towards--maybe you're not ready now, but to have a goal to pursue will help you heal--and there are a ton of therapists in Chicago!