26. The Pedway
Location: 108 North State St.
Yes, winter in Chicago is brutal—but the locals know a secret: go underground. Below the streets and away from the bitter wind is a subterranean maze of walkways that connect to numerous train stations, stores, skyscrapers, and office buildings. Linking 40 blocks, this underground city has been necessary for surviving the winter blues for 60 years. Spend enough time down here, and you might become convinced you're inhabiting some futuristic sci-fi world.