I'm a sucker for a good trumpet line, and although this only scratches the surface of why I like this song so much, I thought I should get that right out front.
I discovered Sufjan Stevens a couple of years ago, after reading about his album Come on Feel the Illinoise! on several 2005 best-of-the-year lists, and the first time I listened to it, it had the effect that a good book does: I couldn't walk away until I heard the whole thing. It is a concept album about Illinois (Stevens claims he's going to do one about each US state - so far he's finished Michigan and Illinois), and, appropriately, I guess, "Chicago" is the album's centrepiece.
Frank mentioned driving songs, and this is one of my favourites because of the sense of motion that it has. The strings, the odd back beat, the bells, that trumpet, the choir, and all of the instruments that I haven't yet identified sweep you up and carry you along in their rush, and then you hit a quiet spot, and you almost feel as if you're floating. To reinforce the driving song appropriateness, the song's lyrics are, at least partly, about a road trip the narrator took "to Chicago, in a van, with my friend."
Anyone who has seen Little Miss Sunshine will probably recognize some of this song, as it's main riff is used repeatedly as a scoring motif in the movie (a road movie, incidentally). That riff doesn't just repeat througout the song, but throughout the whole album at various speeds and in various instrumental guises, helping to make Come on Feel the Illinoise! one of the only truly conceptual "concept" albums I've ever heard. If you like "Chicago," I can't recommend the album (or it's predecessor, Greetings From Michigan) enough.