Set up your office (and form the corporation) in the location that is useful for business purposes.
There are many locations in the United States that are more business friendly than Chicago (or Los Angeles, for that matter). I would suggest that if you need to be in the Chicago area you look at other municipalities other than the City of Chicago itself.
But if you have made a decision that you need to have your business offices in Illinois, set up an Illinois corporation. Don't bother with Delaware unless there is an overwhelming business need for this.
There are many locations in the United States that are more business friendly than Chicago (or Los Angeles, for that matter). I would suggest that if you need to be in the Chicago area you look at other municipalities other than the City of Chicago itself.
But if you have made a decision that you need to have your business offices in Illinois, set up an Illinois corporation. Don't bother with Delaware unless there is an overwhelming business need for this.