The origin of the nickname 'Windy City' for the US city of Chicago includes each of the three options: the weather, as Chicago borders Lake Michigan; politics; and the rivalry with another US city, Cincinnati, located in the state of Ohio bordering the Ohio River.

While Chicago is widely known as the 'Windy City', it is not the windiest city in the US. Chicago is not significantly windier than any other US city. For example, the average annual wind speed in Chicago is 10.3 mph (16.6 km/h) while Boston is 12.4 mph (20.0 km/h). Chicago is windy due to the tall buildings, when wind is sucked down into the streets.

Cincinnati and Chicago were rival cities in the 1860s and 1870s. The baseball inter-city matches were especially intense. The 1869 'Cincinnati Red Stockings' were the pride of all of baseball, so Chicago came up with a rival team called the 'White Stockings' to defeat them. 'Windy City' often appeared in Cincinnati sporting news during these two decades.

A third possibility is from the 19th century journalists who frequently referred to Chicago as the 'Windy City' because they allegedly believed Chicagoan politicians were nothing but profit-centric. However, it's worth noting the rivalry between Chicago, a growing metropolis in the 19th century, and other cities such as New York City, where most of these journalists came from. In other words, the 'Windy City' is not a nickname Chicago gave itself, but rather something that the city embraced over time.

More Info: en.wikipedia.org