I have two very simple ideas which have worked well for me. I have not read through the entire thread so I'm unsure if what I suggest has been mentioned already......... I live in the Seattle area, so it is fairly mild compared to what you will be experiencing in Chicago (but, I grew up in Indiana about 40 miles southeast of Chicago and I know what you're going to be experiencing - yikes!).
I currently rent the upstairs (two rooms with a short hallway) of an older home; the downstairs is heated with gas heat (which is not going to be turned above 65 degrees this winter to save on costs!), but my upstairs space does not have
any heat vents. Heat rises, so that of course helps get
some heat into the upstairs, but what I find works amazingly well are two things:
1) An oil-filled electric radiator heater which I purchased at Target a couple years ago for $60 - it looks just like an old-fashioned radiator, is filled inside with oil, is an electric heater which heats the oil inside and radiates out the heat. And - WOW! - does it ever work well. Our nights around here have been in the 40's and I've used the heater a few nights on a low setting and I've usually been waking up in the middle of the night TOO HOT.
2) An electric blanket.... this has been the best investment (especially since I purchased it on clearance last spring at Target!). There is nothing better than crawling into a toasty, heated bed
; it allows you to stay warm and cozy no matter what!
Both of these are a minimal expense, but are tips which would obviously most likely work best in smaller spaces; my space upstairs is 300 square feet total. But - anything that makes a dent will make a difference this upcoming winter considering some of the dire predictions I've been hearing!
...... 
