Anne, from Bells and Whistles writes a wonderful review of Norbert Blei's Chi Town. It is the final book in a trilogy about the city of Chicago and would be a good place for new Chicago residents to read.
Another book which will serve new city residents, or people looking for a new neighborhood, is the Not For Tourists Guide to Chicago. It breaks the city down into regions and provides info on everything from liquor stores to hardware stores, restaraunts, and brief mentions of neighborhood feel. Cover price is $16.95.