The City of Chicago’s GIS division of the Department of Information and Technology as well as the Zoning Department provide copious data on boundaries, crime, zoning, etc… And I’m not talking about a library of PDF files. You can’t analyze or manipulate or calculate using PDF – I’m talking about data sets, shapefiles, or aerial photographs.
You can start here on the GIS website.
 The Chicago Police produce the CLEARMAP website. And even the Bicycle Program throws down with bikeways and bike parking data. Check out Wicker Park’s Center for Neighborhood Technology and its urban data visualization websites, like their Housing and Transportation Affordability Index.
List sources for your city’s data in the comments. Milwaukee has its own Spatial Decision Support System called COMPASS. Here’s Maricopa County’s (Phoenix, Mesa, Tempe) ArcServer-based online GIS website.
Check to see if EveryBlock has started data mining your city. They began their news collection and repackaging efforts in Chicago, naturally 🙂 They are the first organization to find a new way to present Chicago’s bike rack installation info.
UPDATE: The community at OpenStreetMap has a huge list of datasets available for cities and places around the world.