I would not be disappointed at all and we have been to Chicago together. It's a big city with a lot of fun stuff to do and if he planned a child free weekend away and I didn't have to do any of the planning it's a big win in my book.
ETA Ok I changed my answer. It depends on how hyped up it was...I mean if it was talked up all the time and made to seem really huge I guess I would be disappointed it wasn't somewhere more vacation destination. I would not be disappointed in a trip to Chicago, but I could see me being disappointed if H made it seem like a much bigger deal than it was. If he was just hey, we are going away this weekend, it's a surprise where, Chicago would be great. If it was three weeks of daily can't wait until our surprise weekend! You won't believe it! Hope you're ready for anything! Bring a swimsuit! Then I would be confused and a little disappointed in Chicago.
Considering I've been to Chicago 100+ times in my life, I'd be a little disappointed, though depending on what we were doing I'd still be really happy and have a great time. Actually, no matter what we were doing I'd be happy and have fun.
I'm trying to think of the equivalent - maybe St. Louis. I think I'd be thrilled if BF planned a trip there, but I'd be slightly bummed if he'd led me to believe I'd get to go somewhere I hadn't been or somewhere with significantly better weather. I would still have fun, and I wouldn't get upset, but I'd have a twinge of let down, yes.
But I am super anal and would have already lost my shit if an SO wouldn't tell me how to pack.
I really like eating, drinking, shopping, lounging by the pool best for my vacations. And short plane rides. So I would be thrilled by Chicago. I've only been twice and not seen many of the sites.
The best vacation DH and I have had together was to Milwaukee though. Sometimes it just depends on planning the right activities for the right place and going at the right time of year.
And I would be won over by a trip to anywhere if it involved a luxury hotel. Man I love a good hotel.
I would be annoyed at not being told more specifically what to pack. And if told to pack cold weather clothes, that would have helped set expectations. But otherwise, no, I think it's nice. As others have said, even a night out in my own city would be nice if it was planned for me as a surprise. I am also big on budgeting and I would probably be mad if my H planned a surprise trip to Europe or Hawaii or something without my input on $$!