It is really up to you to decide. As someone who is from Chicago, I would personally heavily favor it, but I can understand there are many wrong-headed people who prefer NYC (just kidding-- a little). I cannot tell which college would be better for you, both are fine institutions, but there is a possibility of making Columbia your first choice for ED and UChicago your second choice for ED. Besides Early Action, UChicago now has both ED1 and ED2. The ED2 round has an applicaiton deadline of January 2 with notification of decision in mid-Feb. Thus, if you want two possible ED chances but really want Columbia as first choice, you could apply ED to Columbia, and then if you do not get admitted, apply ED2 to UChicago (instead of applying early action or early decision).