Only commenting about the Penn campus and location in general.
Penn is right in the city of Philadelphia, and is walking distance from the main railway station - 30th Street Station, which serves both Amtrak, and SEPTA regional rail. This is a major convenience for getting to/from New York City, Washington DC, and even Boston, by rail, including the high speed Acela line. There is also a line from 30th Street to the airport, which makes this location extremely convenient for air travel as well, without having to deal with the major traffic that can jam up the highway routes to the airport. The campus also has plenty of green spaces for such an urban area, though you will be right on city streets when going in and out of the class buildings. It’s a short distance across the river from the Penn campus to Center City Philadelphia, about a half hour on foot, or a 5-10 minute subway or train ride. Location-wise, you’re surrounded by fabulous cultural and dining options, and if money isn’t an issue, then getting an apartment nearby shouldn’t be a major hassle. Internships and part-time employment opportunities in Philly will also be an easy commute, thanks to plentiful bus lines, and the subway.
Overall I agree with bluebayou that you should be considering the quality of the program, over everything else, but if location matters a lot to you, and you’re looking for a highly urban location, and easy access to more than one major city with internship and entry level job opportunities, then I might lean a bit more towards Philadelphia and New York, than Chicago. Chicago is a great city, and has plenty of opportunities all on its own, but if you want to be able to travel pretty easily between different locations while studying, without flying, the shorter travel distances on the East Coast may be a consideration.