Supposedly, it's a crime to pronounce the city of Joliet, IL as "Jolly-Et" within the city limits of said town, as opposed to the correct pronounciation "Joe-Lee-Et. I think you can get fined or something. Whether this is true or actually enforced, I don't know.
Also, everyone from Illinois can't stand people who pronounce it "Ill-uh-noize" instead of "Ill-uh-noy".
As for the city of Chicago, both "Shi-Cah-Go" and "Shi-Caw-Go" are acceptable, but the latter usually suggests a heavy Chicago accent.
Also, can't forget the rigid style of accent Chicagoans are famous for. You know, "One, Two, Tree", "Deez, Demz, and Doez", "Da Bears", etc.
Another point of interest is that DeKalb, IL is pronounced "De-KaLb", whereas DeKalb County, GA is pronounced "Dee-KaBB". Also, Des Plaines, IL is pronounced "Dess-Plains", while Des Moines, IA is pronounced "Deh-Moyn".
Finally, a little town on the Illinois River called Henry, IL is pronounced "'Enry", as opposed to "Henry".