Having just moved to Chicago after 24 years on the east coast, I want to get a feel for the midwest. Since I relate to reality through artifice, this means music and movies. I have the music down, but what about movies? What are the midwestern or Chicago movies? Give me the vibe.
The Front Page
The St. Valentine’s Day Massacre
Running Scared
The Blues Brothers
Hmmm…
Chicago feel…
John Hughes films are primarily set in the Chicago rich suburbs; Ferris Buellers Day Off, Sixteen Candles, Breakfast Club, etc.
The Blues Brothers is very Chicago to me or Running Scared.
Chicago is quite different than “Midwest” as a whole.
Midwest movies to me are like Planes, Trains, and Automobiles or About Schmidt.
Anything with John Cusack, esp. High Fidelity (Grosse Pointe Blanke counts as midwest, but not Chicago)
The Untouchables
Adventures in Babysitting
Chicago (although, much to King Daley’s chagrin, it wasn’t filmed here)
Meet Me in St. Louis
It’s not a Chicago movie, but you can’t get any more midwestern than David Lynch’s The Straight Story.
Some other notable Chicago films:
Scarface (the original)
Hoop Dreams
Eight Men Out
The Fugitive
Glengarry Glen Ross (and other David Mamet films)
Ferris Bueller’s Day Off (and other John Hughes films)
Crime Story (the brilliant TV series)
The Sting
Robin and the 7 Hoods
Breaking Away, 1979
About Last Night
Adventures in Babysitting
Chicago 
Risky Business
Not quite Chicago but sort of midwesty:
Wayne’s World
Gross Pointe Blank
How about some TV Series:
Due South
Hill Street Blues
Oprah
Jerry Springer
Start with “About Last Night.” Pay close attention to Jim Belushi’s character in particular. I know about 2 dozen guys like that. Pretty soon, so will you.
Other good choices:
“Continental Divide” (John Belushi as Royko-like muckraker who’s never been out of the city)
“The Breakfast Club” (A pretty accurate look at midwest suburban teenagers—people from other parts of the country find it annoying or baffling, but if you grew up here, it rings true)
“The Blues Brothers” (Lots of movies use Chicago as a backdrop, but TBB is one of the few movies that really feels like Chicago)
“Running Scared” (ditto)
“Drop Dead Gorgeous” (Go north and west of Chicago and you soon enter conservative Lutheran territory; this movie spears that culture mercilessly)
“Hoop Dreams” (Documentary of two kids and their dreams of playing pro ball; fantastic movie!)
“High Fidelity” (Great snapshot of Chicago’s north side, made by a man who knows it well, John Cusack)
I wouldn’t bother with “Ferris Bueller’s Day Off.” It’s set in Chicago, but there’s nothing terribly “Chicago” about it, if you follow me.
Some other good Midwesterny-type films not yet listed:
Terrence Malick’s Badlands and Days of Heaven
Pare Lorentz’s documentaries The Plow that Broke the Plains and The River
The Miracle of Morgan’s Creek
The Night of the Hunter
Fargo
Heartland
The Music Man
Hail the Conquering Hero
Our Vines Have Tender Grapes
What’s Eating Gilbert Grape
A Simple Plan
The Bridges of Madison County
Next of Kin - Kentucky hills and Chicago.
Red Heat - Arnold Schwarzenegger as a cop from Moscow who’s in Chicago tracking down a Russian mobster, assisted by a local cop played by Jim Belushi.
Except for that Cubs game.
Get used to your new local political scene by watching Night of the Voting Dead. 
An older one is Call Northside 777, a fact-based crime story with Jimmy Stewart, one of few movies of the era shot on location in Chicago.
Also Stir of Echoes has a great feel for Chicago’s working-class neighborhoods.
Henry, Portrait of a Serial Killer
And their visit to the Sears Tower (or was that the Hancock Building? Or just some random skyscraper…
Also seconding “Breaking Away.”
Also give “A Christmas Story” a shot. It’s set in Hammond, Indiana, and was shot in Cleveland, Ohio. Definitely has a midwestern-town feel.
State Fair ?
A Christmas Story
Movies that have midwestern settings/charaters but not really midwestern
The main character in Contact was from Wisconsin
I Love Trouble, partially set in Wisconsin
Star Trek I-VII (Kirk was from Iowa )
For TV shows:
Picket Fences was set in Wisconsin (altho in parallel dimension)
That 70’s Show
Happy Days
Lavern & Shirley
Step by Step
Brian
And Abe Froman, the Sausage King of Chicago.
“Perfect Strangers” and “Family Matters” were set in Chicago.
“Roseanne” was set in the fictional town of Lanford, IL.
“Third Rock from the Sun” was set in the fictional town of Rutherford, OH.
The bad angels from Dogma were exiled to Wisconsin. I guess God has a sense of humor . . .