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You’ve come to the right place. As a Midwestener born and raised (unfortunately), I can give you some good recs.

First it depends on price. If you’re looking to spend
Assuming you want to spend above $300, I’m not going to do price tiers, as I’m assuming you’re flexible within a couple hundred dollars, and instead talk about features / potential needs. If that’s not the case, let me know.

It really comes down to insulation type / fill and shell (outer fabric of jacket) properties.

Insulation:
You have a couple options here. Down is very warm and lightweight, but as soon as it gets wet it loses a lot of its benefits. Synthetic insulation may not have the same warmth:weight ratio as down, but can still be warm when wet. My 2nd choice after down, and in some cases can be better if you’re going in and out of buildings or sweating, is coreloft insulation, which is synthetic. Down has different fills, meaning different warmths, with the highest being warmest. Would recommend a minimum of 700 fill.

Shell:
Depends on the jacket. Some are “water-resistant”, which can mean they wet out after a few tears or actually bead water off during a light drizzle. What you’re going to want, especially being in a wintery mix city such as Chicago that can go from rain->blizzard->hail->downpour in the course of a day, is a GORE-TEX waterproof shell. They’re typically windproof as well, which is great when you’re crossing state street bridge and a gust of wind comes off the lake in February. Straight to turtle mode. Brrr.

So my recommendation is down insulation with a GORE-TEX shell. There’s a lot of brands out there that will do the job, but my personal favorites are Arc’teryx and Norrona. Try them both out as they fit slightly differently, Chicago has both stores. They both have a variety of different jackets and as long as you get one with GORE-TEX and solid insulation, you’ll be good. Invest in a good black winter jacket, take care of it, you won’t need another one for 5-10 years. Would recommend a parka length that goes past the waist as well, helps with staying warm when you get hit with a gust of wind and looks more professional.

 

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