From your description this large insect is a digger wasp. Very common this time of year and in areas where they can construct burrows in the soil or under the sidewalk in your case. This wasp is closely related to the cicada killer, but usually does not make a large burrow, so the amount of soil displaced onto the surface is rather small. They can sting, but like cicada killers, one essentially has to step on one barefoot or grab one barehanded to get stung. Being a native insect, its numbers will probably plummet in the next year or two due to natural enemy attack. So you may leave them alone, there is no real need to destroy them. There are several species found in N. Illinois.