We have been to Wrigley Field in late May, early June and needed a blanket and vendors were bringing around Hot Chocolate to sell.. The wind off the lake can make for a miserable time if your not dressed properly.
Having grown up on the South Side of Chicago, I can agree with that. But try going to a Colorado Rockies opening day (against the Cubs IIRC), sitting in the top row with the wind at your back! The worst I've ever experienced was a Brochos game at the old McNichols arena, sitting in the North stands one time. I had on long thermal-knit underwear, a wool shirt, and an N3B Air Force parka and "iron pants". About froze them both! Left at half-time, and had to walk a mile to the parking lot! I wasn't that cold in Montana targeting Minuteman I missiles at -40F.
2 years ago the kids were Trick or Treating in 3" of snow around here, Very rare, but it happens.