I had to leave my 240D with a valet in Chicago (further north than Swisshotels, at a Westin) in December. I'm fairly certain someone swiped my good torque wrench out of the trunk, but they claimed no responsiblity and refused to replace. (I don't have the valet key for that car.) I'm still fighting with the hotel about it.

In Chicago, there are quite a few self-park garages downtown--look for the green PARK signs. They're still expensive ($28/24hours), but you can park it yourself. They're generally pretty secure--look for one where access to the parking levels is locked. The attendant will demand that you leave a key, but I've never heard of any problems.

When we stay south of the river, we usually self-park in the Grant Park underground, and have never had any problems. I think that's a little far from the Swisshotel place though.

Our practice, by the way, is always to park the car for the duration--then take cabs or trains anywhere we want to go. Driving in Chicago isn't great fun, plus you'll get hit for additional parking anywhere you go downtown.