It's a satirical look at the way we the public make heroes/heroines out of criminals (umm John Dillinger, Al Capone, and in our time say ..Squeaky From and Charles Manson.)
If these sleazy people are famous and wealthy it's only because we place that importance on them in the first place. Look, crime fascinates the general public: OJ, Kobe, anyone?
Chicago started out as a play written by a Chicago newpaper woman Maureen Dallas Watkins who had to attend many of these trials. They were referred to as "sob sister" stories in newsspeak.
There really were at one time 6 women on Death Row in Chicago during the 20s. Some familiar details of the real trials wound up in "Chicago" the play. To read more about newswoman and playwright Mareen Dallas Watkins and the history of the trials that inspired Chicago (not as far fetched as you think) read this link:
http://www.nationmaster.com/encyclopedia/Maurine-Dallas-Watkins interesting factoid:
The play was made into a silent film Chicago, in 1927, produced by Cecil B. DeMille, featuring former Mack Sennett bathing beauty Phyllis Haver as Roxie HartI would love to see that film! I hope it's still around.
The other thing this piece does so well is turn traditional storytelling on its head. Instead of the traditional hero/villan angst, you get the villan as hero. Perverse? Yes. Does it get it's point across? Yes. And yes I think Bob Fosse's black/cherry red choreography serves the story well. Anybody else would have been tempted to soften the story up to make it more acceptable. After all, what's more distasteful than watching people on Death Row? But to get at the truth of the piece you have to take it to extremes. And MD-W understood that, so did Fosse and Candor and Ebb.
Edit: I've seen both the stage production and the movie. I have to say the stage production packs a bigger wallop, but you get an idea with the movie.
edit: spelling and some editing to more complete the thought.