Never lived in NY. Chicago has a lot of opportunity for creatives and is super cheap to live in for a major metro area, and I see theatre gigs posted all the time on Chicago Artists Resource. That said, the most successful of my theatre buddies from high school went to NY and I have the sense that it's a harder grind but with more financial incentive. NYFA seems much, much busier than CAR but also more competitive.
Speaking as a visual artist, the sense I have in my field is that Chicago is generally more open and easier to make-by-on-art-jobs than NYC but you're limiting yourself to a smaller, more communal world where the rewards are harder to earn.