Do compasses work in urban areas?

I'll be exploring some big American cities soon, and I've been trying out compasses in my hometown of Chicago to take with me in case I get lost. Every one that I use seems to get deflected anywhere from 5 to 60 degrees away from the actual direction. I can't tell if it's because I've been using bad compasses, or if there's too much iron in all these buildings to get an accurate description.