"Things began as they usually did: Someone shot someone else." So begins a chapter of Michael Lesy's disturbingly satisfying account of Chicago in the 1920s, the epicenter of murder in America. A city where daily newspapers fell over each other to cover the latest mayhem. A city where professionals and amateurs alike snuffed one another out, and often for the most banal of reasons, such as wanting a Packard twin-six. Men killing men, men killing women,...