There's plenty of fun to be had in the colder months, it's just a different set of activities than in the summer. Comedy, music, theater, and drinking never stop, and depending on your interests you can find some pretty wonderful winter-specific activities. Some more popular winter activities include things like skating in the park, the Christkindle Market (which is fun even if you don't really do the Christmas thing), Zoo Lights, TBOX (if you're into the Wrigleyville scene), etc. Many museums have free or discount days in the winter and the regular city life - music, comedy, theater, bars, great restaurants, nerdy meetups, midnight showings, etc. - is still thriving. There aren't as many street festivals as you'll find in the summer, but it's a great city year-round if you can take a little bit of a chill.
If you're going to Northwestern and living in the city, you'll probably end up somewhere in Rogers Park, Edgewater, or Uptown. These are really fun parts of the city that have been growing and changing a considerable amount in recent years. That also puts you close to both Northwestern and Loyola, so there will be other grad students around looking to hang out and burn off some stress. Come join us - you're going to love it!