I live in Roscoe Village - about a mile west of Wrigley. General guidance:
If you are 22-25, live in Lincoln Park or Wrigelyville. This is generally the jeans / tshirt / hat crowd at the bars. Very rowdy, lots of drunk hookups. Great time for that age. You can probably rent from anywhere from $700 w/ roommates to $1100 - $1300 for your own 1bd apt. Getting roommates from Craigslist is actually fun - I did that when I moved here. Great way to meet a ton of new people, even though most of my friends were already here. Take the redline straight downtown to the loop.
If you are 25-29, live in West Loop, River North, or if you are a little Edgy / Emo, Wicker Park is cool. These places tend to be more clubby / loungy. Smaller
places, more expensive, dress codes, yuppie crowds. You can buy 1bd condos for about $300K, or rent a nice place for around $1700 - $1900. Either take the blue or green line straight down to the loop depending on where you pick, execpt for River north, you can pretty much walk to the loop.
If you are 30+ live in Roscoe Village, Bucktown. More family oriented - young married couples, little kids. Tons of restaraunts, small neighborhood pubs, and a handful of everything from the above neighborhoods as well. Condos tend to be only in 3 flats, 2 and 3 bds, anywhere from $400K - $800K. A bunch of single family homes as well, these typically run anywhere from $800K - $1.3M. Take the bus west to pickup the El - either Red or Brown line down into the loop.
South loop is overbuilt and is basically a big concrete jungle. All the green space is on the north side, mostly in and around lincoln park and the neighborhoods west of Wrigley, or close to the lake. 1BD condos can be had for like $260K - $280K. 2BD for around $350K - $400K. There are some townhomes in Museum Park that are about $800K.
All of these places have easy access to the busses / El. If you are planning to buy a car, keep in mind parking will be about $200/mo. Insurance is high in the city - mine was $200/mo on an 06 Grand Cherokee and my driving record was perfect. Add to that gas - maybe $400/mo with prices the way they are now, and maybe a $600 payment, it adds up.