I can't be certain of these details, particularly since Chicago newsrooms seemed to be packed with weak-willed pussies too timid to touch such a monstrous story. That said, it seems the first batch of sightings occured February 13th. The craft reappeared in the same location 5 days later on February 18th.
Here are some videos of the events. I believe the first two are from the first night and were shot by different people. The third is the second sighting, initially shot and posted by the same guy who shot the first vid.
Update 5:22pm 02.21.2011
Here are more vids of these events I've tracked down.
Here's one from a hilariously enthusiastic individual reportedly shot on February 17 in the same area, although it appears to be a separate event.
Keep your eyes open, friends. This stuff is happening, and it's happening for a reason.