I would think Chicago, since it's the President's hometown. Full disclosure, I'm from Chicago, so I hope I'm wrong about that, but if there's a mis-direct, I'd be keeping my eyes open around here.
Why would the terrorists want to hurt or embarrass Obama in any way? Obama is the very best thing going for them right now, inflicting more serious long-lasting destruction on this country than Osama bin Laden ever dreamed possible.