The pronunciation of Chicago, home of Al Bundy and Al Capone, seems to be tricky for many non-native speakers. The problem is that the ‘ch’ is not pronounced as in words such as change, chance or chocolate. Instead, it is pronounced like the ‘ch’ in champagne or chandelier. The phonetic spelling is [ʃˈɪkɑːɡəʊ] or, also, [ʃˈɪkɔːɡəʊ]. As pointed out here, this pronunciation is often due to a French origin and, in fact, the name Chicago also has a French background, see here. You can listen to the correct pronunciation here, and to incorrect pronunciation here.