Four seasons is a great thing, that allows you to both consciously and subconsciously note the passage of time, changes in your own body/health, etc much faster. It keeps you on your toes in a way that a "sunny and 60s" Bay Area never will.
Perhaps that's why there's such a focus on college students and recent grads in the valley – they're among the few people left who seem truly and consistently motivated, in cities filled to the brim with laidback flakes?
Say what you will about Chicago, but between the "nice factor" and the general vibe that people are, well, a bit more "alive" – if not always terribly interesting in purely intellectual terms – they've definitely earned their place as toppish startup hub.
All that said, if you're not a native of the cold, and don't have an entire childhood of "worse winter" stories to pull from, the winters can be pretty hard to take – especially if your job role doesn't include a fair bit of travel, and you haven't found a girlfriend/boyfriend to "bunny up" with through the darker months.