There is a good spot off the approach end of runway 22. It's a gravel pull-off from Higgins (I think) Road. There are a few commercial parking lots you can use for shooting arrivals on runway 9 as well on the west side of the field. From the south side of the airport, follow the perimeter road to where it passes under the approach path to runway 4, ignore the "No Parking" signs for a few minutes and you can get pretty close. Here is the view:
Buy a Chicago street map and bring your scanner. If you need a list of frequencies, let me know.