Chicago's finest, The Lawrence Arms, posted some segments they taped for ManiaTV (because they're crazy, wakka wakka) on ye old YouTube. One segment at about 1:25 has them breaking down the conflicted loyalties of the Chicago baseball fan. Check it out because these guys are always good for a laugh.
I'm pretty sure the Chicago sentiment is unique to the area. New York fans don't vacillate between teams. I know Cards and Royals fans don't change loyalties like underwear. It's quite the Second City phenomenon.