It is very similar to buying other foreclosure properties except the first 15 days are limited to owner occupants ONLY. After that, it is up for grabs. Then you have an additional addendum after you get accepted basically talking about how you are buying it "as-is." Otherwise you close the same way as a traditional property.
Any place with people can be a good rental market. All of it depends on your risk level and the return you want to get. You get a property for $5000 and you would probably get a good return, but are you going to get good tenants? If you have to put in more money than it is worth, then it probably is a risky investment. Chicago is a huge place, so it sounds like you need to talk with someone from the area to narrow down your options.