As a somewhat frequent visitor to Chicago, I like the idea of the pedestrian tunnels, but they don't seem like a practical way to get around.
They're basically the separately-operated basements of stores, hotels, and office buildings networked together. Usually one of them between you and your destination will decide to lock the doors.
I've found myself nearly under my destination, encountering a locked door, and having to backtrack and find my way out through a fitness club.
Montreal's Underground City is a pretty great example of how to give public pedestrian connectivity underground in winter. Well worth checking out: https://en.wikipedia.org/wiki/Underground_City,_Montreal
And until 2003, there was even an airstrip only 2mi from downtown.