With the threat of Preternatural Law-Breakers around, it is not unheard of for folks to take up arms against them now and again. At the most base level is the 'disgruntled Humans First'-sort, operating on the "Pitchfork Theory" (IE: no monster is so great that it can not be stopped by an angry mob armed with pitchforks and torches). Oftentimes such a person will have stocked up on a few illegal firearms and perhaps silvered rounds from over the border.
Next up would be those who are actually trying to better the world, often including bounty hunters. Bounty hunters are often given a bad reputation, but the fact of the matter is that the average police force is ill-equipped to deal with preternatural law-breakers. Given the frequency of the arresting officer(s) ending up dead in a preter-based arrest, they often turn to non-police folks to do the actual face-to-face confrontation. Sometimes these folks are well-trained and well-armed, other times they're merely a little too self-confident and rash. Many times they can be hired by the standard citizen to take care of a trouble-making preter (like hiring a private investigator instead of going to the police).
A few of the bounty hunters and independent law-enforcement types reach a professional status, the U.S.Marshals Office licensing Executioners to deal with vampires and other preternatural lawbreakers. Very well trained, the combination of skill and willingness to become a licensed Executioner is rare enough that there had never been more than one or two dozen in the nation at a time before the 1990s. There are also those few who have the skill and willingness but have never attempted any public fame or notoriety; Sometimes called "Ghosts", they realize that to make headlines or to place media ads would mean being tracked down by vengeful peers of those they have slain more often than being tracked down by potential customers.
Please note that there is a distinct difference between a standard bounty hunter (who tracks down fugitives from the law, basically cashing in on the posters in the Post Office that say there's a $15,000 reward for assistance that might lead to the arrest of John Doe), an Executioner (licensed by the United States Federal Marshals' office to track down and kill convicted preternaturals), and a freelancer. The first two are federally licensed and legal, while the third is basically just a vigilante. Of the first two federally legal ones, the standard bounty hunter has been unrecognized by Illinois law since the 1960s (Only about four states do not recognize premeditated bounty hunting, instead leaving that for the police).
One might also want to look into Gun Laws for Chicago and Illinois.