There is a distribution center in Houston now: http://www.hkatexas.com/2014/06/amazon-fulfillment-houston-h...

Chicago might have a bit of a unique problem with traffic to and from warehouses as well. Real estate is very expensive in city limits and the infrastructure here doesn't support the model all that well. I bet they could manage, but it's got to be a significantly higher start cost here vs. other metros. This would be a city to invest in AFTER vetting out the model in cheaper cities.

Amazon is opening warehouses on Goose Island in Chicago and in Joliet in the near future: http://www.chicagotribune.com/business/ct-amazon-goose-islan...