The city famously nicknamed "The Windy City" is Chicago, Illinois. It sits on the southwestern shore of Lake Michigan, the only Great Lake entirely within the US.
The moniker likely originates from 19th-century boosterism—Chicago politicians and promoters were deemed "full of hot air" (long-winded) in their rivalry with Cincinnati and New York for the 1893 World's Fair. Meteorologically, Chicago is windy (avg. 10 mph), but not exceptionally so (Boston, SF, Amarillo are windier). The lake effect creates dramatic gusts, especially in winter.
Chicago's identity is inseparable from Lake Michigan—its front yard, highway, and weather maker.