This really depends upon your income and where you work. Hyde Park is safe and wonderful, but i has a long train ride to downtown and not many bars/clubs. If you have money, then live in the Gold Coast, River North or Lincoln Park. If you want to have fun live in Wicker Park, Bucktown, or lakeview. Roscow Village is a bit more affordable. The South Loop is cool if you work downtown, but Bridgeport/Chinatown is more affordable.
Just make sure to avoid the West Side, Rodger's Park, and the South Side below the South Loop excluding Bridgeport, Canaryville, and Hyde Park. Of course, Evanston is always cool.
