I'm not too familiar with Chicago's art scene (aside from AIC of course) but just from a first impression of visiting the city a few years ago, Philly feels more "artsy".
Philadelphia has the most public art of any city in the country (including the most murals) and its collections in museums is also very highly regarded (MoA, Barnes, Rodin, etc). The narrow streets and often colorful rowhomes and streetscape only add to the scene IMO. There are unique pieces of art all over the city that can be exciting to stumble on, likes the Toynbee Tiles (that have since been seen popping up in cities all over the world).
Toynbee tiles - Wikipedia, the free encyclopedia
Mystery of tiles on city streets solved in Philadelphia documentary
I also love seeing Magic Garden type constructs in different places:
Philadelphia's Magic Gardens
And I of course love all the murals.
A LOVE LETTER FOR YOU - West Philadelphia Murals - YouTube
https://www.google.com/search?q=phil...w=1278&bih=587
I think both cities have ample opportunities for artists with slight edge to Chicago for being the bigger city and drawing in fresh talent from a huge area and slight edge to Philly for its location and unique local culture. Art is something that cannot be objectively compared but an artist can thrive in either place IMO.