I saw a number of divers around the harbors near downtown a few years ago. Also, don't miss out on diving Lake Geneva, Wisc....about 75 miles NW of downtown Chicago. Clear deep water. Bring your wet suit, though.
I know nothing about the spearfishing rules up there, even though I spend summers on the Wisc. Illinois line. There is a Chicagoland fishing site that may help. You will have to Google it, if I can't find it on my listings. R