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This isn't much of an answer, since I have no experience with any weight-bearing devices during a marathon.
With regard to the cassette player, you will have given your word to the Chicago race director that you will not use such a device during the marathon.
Gu is small. I stash mine in the back pocket of my running shorts. I've tried to imitate others by pinning Gu to my shorts, but by the time I need the Gu the only thing I have is a small hole in my shorts where the Gu and the pin were. Larger food items, such as powerbars, won't fit in most running shorts, although the prerace expos always sell a special short that has multiple-sized pockets.
I put my car key in a very small velcro pouch that loops around my shoe laces (on the non Champion Chip shoe); the pouch was free at an expo and is barely big enough for one key and a few dollar bills. All my other valuables stay in my car. You can generally put warmup suits, lotions, and other pre-race personal items in a numbered bag that race officials will take to the finish line for you.
I hope you get more helpful information from others. You ask a good question.
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