First-time installations require a lot of work and knowledge. On top of creating a place for the heating unit, you must also install ductwork, registers, and the thermostat. Specific tools are needed to do this along with the knowledge of proper unit placement.
If ductwork is not installed correctly or the unit is badly placed, the system will be less efficient. A bad electrical connection or improper gas hookup could pose serious danger. Do not assume that a replacement will be any easier.
This job could entail as much if not more work and knowledge. Time should be another concern. Depending on the time of the year, you may need the unit installed quickly. Without the right experience, the installation could take too much time and leave you suffering the cold.
Contractors work with central heating systems all the time. They can easily determine the best way to accomplish the installation, have the right tools, and know what to check for reliable operation. The home investment of purchasing a new Chicago heating unit is expensive enough. You are better off paying the cost for installation than risking additional costs.