Winter Oil for 4-stroke Engine
Ideally the manufacturer has engineers that put a lot of thought into this, and the manual spells out all the recommendations for even the most extreme operating conditions.  But, lots of times you don't get that, it just says "use 10W40" and that's it.  

If I think my operating conditions are likely to be way out of what the manufacturer's recommendations account for, I might deviate from those recommendations.  I might use a more viscous oil to deal with the heat, or less viscous oil to deal with the cold.  Your conditions in Chicago are typical for huge parts of the country, I bet the manufacturer's recommendations are fine for Chicago.  I'd probably leave well enough alone and stick to the recommendation.  

If the engine has a lot of miles / hours, and seems to have significant wear, I do switch to something a little more viscous.  If a car is burning more than say a quart between oil changes I will suspect it's worn.  I figure an engine with some wear is a little looser and will blow by a little more oil (past the pistons into the combustion chamber) so a more viscous oil might make sense, like switching from 10w30 to 20W50, especially in the summer months.  I have seen this make a measureable difference many times with high mileage cars.  

I haven't really seen the extra viscosity make much of a difference in starting in cold weather.  I think the drag you get from viscous oil is pretty minor, better to focus on a good quality battery with adequate cold cranking amps and good cold weather performance if you're concerned about hard starts in cold weather.