From the History channel...
The origins of Chicago’s famous  nickname are not entirely clear. The most obvious explanation is that it  comes from the frigid breezes that blow off Lake Michigan and sweep  through the city’s streets. However, another popular theory holds that  it was coined in reference to Chicago’s bloviating residents and  politicians, who were deemed to be “full of hot air.” Proponents of the  “windbag” view usually cite an 1890 article by New York Sun newspaper  editor Charles Dana. At the time, Chicago was competing with New York to  host the 1893 World’s Fair (Chicago eventually won), and Dana is said  to have cautioned his readers to ignore the “nonsensical claims of that  windy city.” Dana is often credited with popularizing the “Windy City”  moniker, yet according to David Wilton’s book “Word Myths: Debunking  Linguistic Urban Legends,” researchers have never managed to find his  original article. Many now dismiss it as a myth. 
Even if Dana’s  editorial does exist, it’s unlikely that either he or the World’s Fair  debate were responsible for popularizing Chicago’s nickname. Etymologist  Barry Popik, a longtime researcher of the Windy City question, has  uncovered evidence that the name was already well established in print  by the 1870s—several years before Dana. Popik also dug up references  showing that it functioned as both a literal reference to Chicago’s  windy weather and a metaphorical jab at its supposedly boastful  citizenry. Many of the citations are found in newspapers from other  Midwest cities, which were in a rivalry with Chicago over who was the  region’s main metropolis. For example, an 1876 headline in the  Cincinnati Enquirer used the phrase “That Windy City” in reference to a  tornado that swept through Chicago. “The Cincinnati Enquirer’s use is  clearly double-edged,” Popik told the Chicago Tribune in 2006. “They  used the term for windy speakers who were full of wind, and there was a  wind-storm in Chicago. It’s both at once.” Since Chicago had previously  used its lake breezes to promote itself as a summertime vacation spot,  Popik and others conclude that the “Windy City” name may have started as  a reference to weather and then taken on a double meaning as the city’s  profile rose in the late-19th century. 
Interestingly, although  Chicago may have gotten its nickname in part because of its fierce  winds, it’s not the breeziest town in the United States. In fact,  meteorological surveys have often rated the likes of Boston, New York  and San Francisco as having higher average wind speeds. 
By: 
Evan Andrews