Stun guns and TASERs are still illegal in the city of Chicago. 

See Municipal Code of Chicago 8-24-020 Sale or possession of deadly weapons:

(d)   No person shall carry or possess with intent to use unlawfully against another, or carry in a threatening or menacing manner, without authority of law, a dagger, billy, dangerous knife, razor, broken bottle or other piece or glass, stun gun, taser, or other dangerous or deadly weapon of like character.