Cycling in Chicago

I brought my bike with me to Chicago, both to try and maintain some semblance of cycling shape and to practice traveling with my bike. I meant to explore the local cycling scene, but I've spent all my time riding up and down the popular Lakefront Path.
The first day I rode it from top to bottom and back again, and it felt as if I was riding into a raging headwind every way I turned. I had to muscle through the whole time just to maintain any speed. Is it always that way? I thought the nickname "Windy City" was coined by Charles Dana in reference to the the hot air from Chicago politicians about the World's Columbia Exposition in 1893! That pain aside (a sour pain, as Lance would say, versus the sweet pain of climbing), the ride was gorgeous. Chicago has, in my opinion, the greatest skyline in the U.S. Seeing it rise up on one side of you while flanked by a stormy, choppy Lake Michigan on the other is spectacular.
The ride takes you past Navy Pier and Buckingham Fountain, through Museum triangle (Shedd Aquarium, the Museum of Natural History, and Adler Planetarium), past Soldier Field and the McCormick convention center, by Promontory Point and the Museum of Science and Industry, all the way down to the Cultural Center. Just a few rides familiarized me with the path's personality. North of Navy Pier and even Shedd Aquarium the path is a zoo, the path shared by hundreds or thousands of pedestrians, rollerbladers, joggers, dogs, and cyclists. Weaving between them requires quick bursts of acceleration to shoot through brief gaps in the humanity. My least favorite portion of the trail is heading south over the bridge above the Chicago River. When crowded, I picture myself being knocked off the narrow path by a swerving pedestrian or cyclist coming the other direction and landing in the path of one of the several-thousand pount yellow taxis heading my direction.
My favorite portion of the ride is the stretch that takes one by Buckingham Fountain and the soon-to-open Millenium Park. Buckingham Fountain seems to slide by as if on rails, and in the afternoon sun, it's majestic parabolas of water sparkle like white fire.
Mayor Daley is trying to make Chicago the most bike-friendly big city in the U.S. I haven't ridden enough within the city to assess his progress, but the Lakefront Path is a gem, at least during the week when it isn't overcrowded. I look forward to returning someday to test the outcome of Daley's vision.
Portland is widely hailed as the most bike-friendly city in the world, and I'd love to see more cities follow its lead. For me, bike lockers are essential because I've had way too many bikes stolen off of exposed bike racks. Showers would be a bonus. Portland offers some of both, in addition to over a hundred miles in trails within city limits. I've also heard of bike lockers where you can deposit a coin and your bike is sucked away into a concealed locker, like a safety deposit box for your ride. Sweet.
I have one question that a native Chicagoan might be able to answer. Every time I've ridden the trail I've passed an middle-aged Caucasian male dressed as a samurai, wearing a white kimono and carrying a wooden sword. He was bearded and wore glasses. Usually I encountered him in Lincoln Park, just north of Belmont Harbor. Once he was arguing vehemently with what appeared to be a homeless man, and the other times he was jogging, hand on his sword, ready to draw. What's his story?