The best way to start climbing is to hit an indoor gym and try your hands (and feet) at it. In the chicagoland area, I suggest the following gyms. All of them provide rental harness and shoes, and most of them have beginner classes.
Vertical Endeavors
Climb On
FFC Climbing Gym
I highly recommend climbing as a sport. Not only is it great for general fitness, climbing is also an extremely social sport. You will meet tons of fun-loving and out-going people at the gyms.
Also, it is a lot easier than it looks :-) And as for the danger factor, I believe that if you follow a few simple safety protocols, indoor climbing is extremely safe. I personally have not witnessed anyone getting even mildly injured in a gym. Anyone wants to chime in on this?
Great info Miguel! I agree that indoor climbing is very safe. I would guess that it’s one of the safest recreational sports there is… after golf maybe :) I would also add that many people I know have gotten started taking a class through Chicago Sport & Social Club, so check them out.