Having lived in both....Chicago is flat and windy but has considerably more sun hours...no surprise. Chicago gets most of the "named" winter storms that travel across the plains.

Pittsburgh is grey with lots of precip, and did I mention it is grey? It also gets lake effect snows, which account for its higher precip amounts.

The key difference i saw was the topography. Hills offer a lee side that flat lands do not. Welcome to Pittsburgh. We sincerely hope you love it here. Just dont tell anyone, we like how cheap it is.