Chicago is a corrupt, backward city, even by American standards. I should know, I grew up near Baltimore and DC and Chicago is like Baltimore in its "Kind of like society but not really compared to New York/LA/Seattle, but has a lot more violence"ishness.
Brazil is as horrible as china was in terms of the rich-poor dichotomy, but there is even more violence and less ability to rein it in when the visitors are on their way. I don't speak BRBRBRBRBRBRBRBRBRBR.
Madrid is a lot safer, a better climate, and fucking awesome food. Plus the girlfriend is fluent in spanish and I'm learning "Spain"-type Spanish now myself.
Tokyo is glorious nippon after all, and the Japanese are nothing if not clean, neat, and hospitable.