“If you had always assumed that Chicago earned its nickname as the Windy City from the chilly gusts coming off Lake Michigan, you would be wrong. The city is windy, according to most local legends, because of the hot air bellowing from politicians.”

Read more at
http://www.chicagoreader.com/Bleader/archives/2008/11/21/the-origins-of-the-term-windy-city-have-been-misreported-again