I don't really see the point in all the hush hushness since the answer is very specific to the school.
If you're talking about U of Chicago, the location is terrible. there is only bus access (the nearest train stop is a mile away) and the neighborhood has unsafe areas.
If this is Northwestern, it is very public transportation accessible and Evanston has a cool vibe to it, plus you can live in Chicago and commute and have the best of both worlds.
If you are talking about DePaul, it is a great neighborhood.
If you are talking about Loyola, the location is ok, but it is best if you live somewhere a bit farther from the school.
If you are talking about UIC, I am not a big expert on the area, but I heard it is looking a lot better in the past few years, rather hip and happening.
There are only 3 decent grad programs in NYC that I am aware of: NYU, Columbia, and CUNY Graduate center, all in Manhattan, and everyone knows how great Manhattan is, so no explanation needed there.