I have had my TCH since Monday night and the longest trip I've taken has been under 15 miles, all city driving. I'm in the Chicago area so it has been rather cold. Is the relatively short distance traveled combined with the winter weather a factor in the mileage not being so hot?

Yes! You are correct on the three of the largest detriments to good fuel economy.

Cold.
Heavy city driving (lots of stop and go).
Short trips.

The fourth is the driver and their skills. (with practice this will improve)

I'm an experienced driver, but the three factors kill my averages too. My last couple tanks have been in the low thirties.

Welcome and congratualtions!
As a new owner, I'd suggest you glance at the FAQ in my signature for a quick into to mileage and tips.

Other great tools:

• Toyota Online's iGuide
• 2007 Online Owner's Manual
• 2008 Owner's Manual PDF (download link)

I would also add the wind can cut your milage down. You stated you are driving in the windy city. I live in the Texas Panhandle and the wind blows alot here also. On the highway it can cut my milage down by 4 MPG.

The FAQ linked in the above post is exellent.

Get used to the reduced mileage in the cold here in the Chicago area...I have had my 2007 TCH for 18 months...summer is great but winter mileage BLOWS !!! Also be careful when on snow and ice...this car was designed for nice weather

Just got back from a trip down to Oxford, Ohio. Was doing cruise-control at 80mph in the 70mph zones and 75 in the 65mph zones. Got 36.9 MPG. I'm very pleased!