Watching Amazon's 2017 anthology series Philip K. Dick's Electric Dreams, I particularly enjoyed how many episodes they filmed right here in Chicago.
"Real Life" filmed mainly around Lake St and the river. "The Father Thing" takes place mainly in The Villa, a niche hidden away in Irving Park. And it took me all of 5 minutes to locate a shooting location by the Damen El stop in "Safe and Sound."
Of course, as most of the stories take place 20 minutes into the future, some of the locations have digital additions (like the diner in "Real Life"). But they made no effort to conceal Chicago. It's fun.