A good friend of mine is a reoccuring guest star on this particular show. I can certainly confirm that the show does NOT take place in Chicago, but rather in an LA backlot at the Warner Bros. Studios in Burbank, CA. Yes...the show is on NBC, but it is made by AOL/Time Warner Bros. and then sold to NBC on a per-episode basis.
Although there is an EL stop on the lot to shoot scenes nearby the hospital, the cast and crew (some of them--depending on the upcoming episodes) occasionally travels to Chicago (on the order of 2-4 times per season) to shoot scenes in Chicago in order to add realism to the show.
For example, when Mark Greene is running along lake Michigan with snow falling in the background, it IS chicago (perhaps not surprisingly). BUT...when they're in the snow, unloading someone from an ambulance at the ER main entrance, it is most definitely Burbank. Doesn't matter if its eighty degrees out, they still have to put on jackets and act as though it were cold.
Ever wonder why those snow flakes never dissolve but rather suddenly disappear in the next scene? Its because they're potato flakes!