I moved here from Florida (west coast) 15 years ago. Welcome. It's a great place and the cold will get easier to deal with, I promise.
I have twins and an older kid and wish I'd gotten the mountain buggy urban double. I have the peg perego aria twin and while it is wonderfully lightweight, it's a pain to get around with if you're doing a lot of walking, especially as the kids get older and heavier or if you've got the older one in with one of the babies and the load isn't balanced. The rubber tires of the mountain buggy are fanatastic for city sidewalks and a smoother ride! That said, the Peg is a great stroller for the car as it's pretty easy to fold, lightweight and good for little trips and travel. In reality, I wish I had both. I commute with my guys and am having a harder and harder time getting around as they get bigger in the peg. Another tip (unsolicited, I realize) is a way to make it easier to carry your girls when they get too big for the bucket carriers (you have to either get a snap and go or pick a stroller that allows you to snap their car seats in, by the way). Anyway, the hardest phase with my boys was when they were too big to keep in the carriers, but couldn't walk yet. Getting into and out of the house was incredibly challenging, as was any time I couldn't have the stroller or just had to hold them. I had great luck using 2 lightweight sling carriers, criss-crossed and wearing them both. They loved it, my hands were free to open doors, etc., and it was a much more stable, balanced load for my back. I used the Mama Kangaroo mesh sling (search mama kangaroo sling on ebay, she's based in Canada and sells direct through ebay). The mesh sling is very lightweight, so you can easily toss 1 or 2 in your diaper bag, washable, you can even wear it in the pool!
Where in Chicago are you (city or suburbs)?