Note: The world is painted in broad strokes, with a few core facts, but room for input from participants. This is a shared world, so we're leaving plenty of blank canvas inside the outline.
What is Faerie? Faerie is a realm of stories, a world that follows the rules of plots, a realm of characters rather than people.
You may have heard of some of its famous residents, Cinderella, Red Riding Hood, the Frog Prince. But if you have, it's because of tragedy. In the 18th and 19th century, folklorists in service to nationalist projects raided the realms of faerie to take away residents. These residents stories were put in service of the narrative of nations, imprisoned in words, dead to those left behind. The names of Grimm, Perrault, Lonnrot, these names are infamous among the residents of Faerie, many of whom lost relatives.
In response, Faerie united into a high Kingdom, the Märchmark, under their Queen. They organized fortified embassies in the Unplotted Lands, places to guard the pathways into Faerie and prevent future depredations. In 1892, as part of the World's Columbian Exposition, they opened the embassy in Chicago, hoping that the United States would be less inclined to ethnic nationalism.
At the opening of the embassy, the first ambassador spoke a prophecy, "So long as this embassy stands, so will stand the Kingdom of Märchmark". Chicago's embassy remains one of the key bastions of Faerie power in the Unplotted Lands and provides a point of contact with many of their fellow Otherworldly folks. However, it is also a place of high vigilance.
Wizards are the main sort of magic among humans, a catch-all term that involves many styles of magical practitioner. Wizards are professionally territorial(only 4 in Chicago, plus apprentices), weirdly independent(Wizards do not form governments, only gentlefolk agreements), and have mastery over at least one domain(the more specific, the more powerful, the master of birds has less influence over pigeons than the master of pigeons). Wizards exist in secret, and like it that way.
The Necropolitan Union
The Dead of Chicago are an active lot and the spirit shadow of Chicago exists everywhere that people have died. In a city like Chicago, that's a lot of places. The spirits are active in local and national politics and often have strong opinions on the way people are carrying on their legacies. Their main territory is the great cemeteries of the city, though the politics between them are sometimes fierce.
The Great Undercity
Any large enough city has connections to the Great Undercity, the wrong turn on the Pedway or the wrong stop on the Red Line Subway will end you up in the Paris Catacombs or the markets of Cappadocia, or the secret underground aquaducts of Mohenjo-Daro. Their main embassy in Chicago is in Pilsen, which connects directly to its sister in the Czech Republic.
The Celestial Exchequer
In the 1920s, Heaven and Hell decided that it would be better in the city to share office space for the sorting of saints and sinners. They have a centralized building where they conduct business, with a single reception area that directs people towards their appropriate floor. Ironically, Hell's offices are upstairs, while Heaven's are in the basement.
The Siblinghood of Muses
Gods who no longer have significant populations of active worshippers in an area have come to rely on the services of the Siblinghood of Muses, a group of demi-gods and gifted mortals that serve as a clearing house for godly business. An individual Muse might be the child of Isis, but be running errands for Cihuacoatl, on a long term project for Hachiman, and overdue on some troubleshooting for Maui. They are organized more like a labor guild, with representatives that distribute work.
The Benevolent Order of Chimera
Monsters have always been part of the human experience, but they have also found ways to work together to keep out of the worst kinds of trouble. The B.O.C. is a fraternal organization of monsters that provides networking services for those whose hungers and vagaries fall outside the socially acceptable. Werewolves, vampires, satyrs, vila, cryptids of all sort, find their home in the B.O.C.
The Realm of Dreams and Nightmares
What is the realm of dreams and nightmares? Does it exist outside the minds of sleepers? How do its denizens pass from that realm to the Unplotted Lands? There are many questions. And they give few answers, but they can be powerful allies or enemies, so nobody leaves them out of discussions.