There's definitely a difference in the acceptance rate, but it's not anywhere near as sharp a difference as Columbia's. Last year (without checking), it was something like 35% v. 26%. You should recognize that Early Action (at Chicago, MIT, etc.) has very different dynamics than Early Decision (which is what Columbia and most other "early" schools have). Early Decision is binding on the applicant; if he or she is accepted, he or she is required to enroll, with no opportunity to compare financial aid offers or to take a flyer on some other reach school. That serves to limit the number of people who are willing to apply Early Decision, and it means that the admissions staff knows that if it accepts a student Early Decision the student is going to enroll. Early Action isn't binding on the applicant, and except at Yale and Stanford students can apply to more than one college Early Action (and even to another college Early Decision at the same time). So applying Early Action doesn't require the same kind of commitment as Early Decision. Accordingly, Early Action colleges draw more early applications than Early Decision colleges do.
40% of the applications Chicago got last year were Early Action applications. Columbia received fewer Early Decision applications in absolute numbers -- about 2,500, vs. about 4,000 for Chicago -- and they represented a much smaller portion of Columbia's overall applicant pool (well under 20%). So at Chicago, the Early Action pool is much more typical of the overall pool than at Columbia. At both colleges, the admissions staff claims to be applying the same standards in the early and regular rounds, and says that the difference in acceptance rate is due to the stronger characteristics of early applicants. At Chicago, that claim is perhaps more credible.
Another factor to consider in evaluating these things is that colleges like Chicago and Columbia use their early pools as part of athletic recruiting. Some significant percentage of the people Columbia accepts ED are recruited athletes or other special cases -- maybe as high as 20% of the ED pool, and certainly more than 10%. If you strip them out of the numerator and denominator of the Columbia numbers, then the difference between the ED and RD acceptance rates goes down a few ticks. (I.e., the non-recruit acceptance rate for Columbia ED is probably closer to 18% than to 22%.) That's true at Chicago, too, but (a) as a Division III college, Chicago doesn't recruit as many athletes, or recruit them as competitively, and (b) they have a much lower effect on the overall numbers, since many more people are accepted EA.