If the airline operating the Newark-Chicago leg is the same as the one which you use for the transatlantic section (or one of its partners) I think that your luggage will be checked through to Chicago (i.e. the labels will have ORD on them - assuming that you will be arriving in O'Hare). However, unless things have changed since I last went, you will have to go through immigration at Newark, collect your bags and go through Customs. You will then be able to hand them in again and they will be transferred to the Chicago flight for you. This will all take some time. How long do you have between flights?