If you want to know why living near a lake (like in Chicago) causes wind, it’s because water retains temperature much easier than land (a glass of water will remain colder or hotter longer than a piece of bread for example). That temperature difference will cause wind, since that is just what wind is, air of different temperature moving between different locations in attempt to equalize. Lakes and the ocean, being a big open area, both also allow wind to travel easily.
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