The Great Lakes are somewhat closer but sailing opportunities don't come up that often, as far as I know. I think I would have to travel to a coast for most sailing opportunities.
Lotsa sailing here in Southern Ontario.
I'm sure if you post that you're looking for people to sail with in the Chicago area you'll find lots of opportunities.
Don't knock the Third Coast!
Granted it's a little cold still (snowing in TO today, but that doesn't stop some people...)