I'm pretty sure there's some affordable options to Cozumel from the Chicago area. I've heard Apple Vacations mentioned. It's mostly drift diving so fairly easy and in the top 5 best diving locations in the Caribbean. Reasonable accommodations in town and a few other places. Some friends stayed at Villablanca Garden Hotel a few years ago - room/breakfast/diving was about $800/wk. - there's 2-3 dive operators in the same area. Downtown is about 2 miles from there.
My personal opinion of St. Thomas is it's kind of meh...the diving is maybe 6-7 out of 10 and Charlotte Amalie is a little seedy in some areas. All the resorts are fenced/gated - ours had razorwire on top of the fence. And it's one of the better known ones. We never found any affordable accommodations there either - everything I'd stay at looked like $100/nt. With a car you could stay out on the East End - there's several resorts out there - Bolongo Bay even has it's own dive operator. Red Hook where some of the others are based - and most of the restaurants - is a few minutes drive away. So is anything in the Sapphire Beach area. An interesting option there is the car ferry runs over to St. John hourly - you can also dive/snorkel there. In fact there's more shore diving there than on St. Thomas. Everything on St. John seemed more upscale though. Cruz Bay Watersports or Low Key also do day trips to the BVI's from there - passport required.
I agree with Oldbear - better diving is Bonaire or the Bay Islands. Both are harder to get to from Chicago though IIRC - I have friends there.
One Bonaire option might be to connect with the Houston red-eye on Friday night or something thru Atlanta. In February the seasonal flights should still be running. Bonaire is reasonable if you stay off the water. Some of that is not too expensive either but many of the oceanfront dive resorts are priced accordingly. A place like the Dive Hut in town bundles room/shore diving/breakfast for around $700/wk - it's pretty basic. Convenient to restaurants but a car would probably be needed. Somewhere like Buddy Dive is more but your chances of finding other divers are better - or you can boat dive there as well. The Divi Flamingo or Carib Inn are options in town - most of the north side dive resorts are 1-2 miles north of town. The Divi will be doing major renovations while you'd be there though also next year.
if you're solo, Bonaire is a pretty safe place generally. Utila also since it's pretty small and almost all the activity is in town. Roatan has some seedier spots but you won't generally be at those anyway. Stay at an AI resort like Cocoview and they'll pick you up at the airport also. You stay/eat/dive there all week then return. It's actually not the most convenient location for seeing other parts of Roatan but all access is via boat and they have security. Anthony's Key on the north side is simllar, a little nicer/pricier and 5mins. to the West End if you get bored of eating there. All the shops/nightlife/other restaurants are generally in the West End - 5mins. away. Nicest beach is 2 miles from there in West Bay - that's about 40mins. from Cocoview though.
If you are solo most of the dive resorts on Bonaire have a single supplement add-on - at a couple it's substantial. Cocoview does also - it's $200. One other option in Roatan is to rent a weekly apt. - a place like Posada Arco Iris is in town, there's activity there till late at night since it's fronted by their outdoor restaurant and everything is walking distance. A dozen dive shops, one market is next door and all the nightlife is a little further down. a 1br apt. with kitchen goes for around $60/day high season - it's decent but a little older. There's quite a few other options in that area also - including 2 hostels. Here's more info:
http://www.coconuttreedivers.com/roatan.html
To get to Utila you either fly into Roatan and puddle jump over or fly into San Pedro Sula and do the same. SPS isn't really very safe at night though so try to schedule everything the same day. Either island but especially Utila is all boat diving so factor in those costs also. Utila is a big DM training/backpacking destination so there's a lot of cheap accommodations in town - many bundled with dive packages.
The only thing I know about Puerto Rico is all the better diving is
not in the San Juan area. Even the cruise dive operator shuttles people to La Parguera IIRC.
