Chicago takes the staging of a Broadway show, combined with Fosse-inspired choreography that can't be beat, and adds it to more "realistic" scenes interspersed throughout to emphasize the fact that the musical numbers take place in the seclusion of Roxie's head.
Elvis Mitchell of the New York Times says Chicago had a long road from stage to screen. Fosse tried adapting the movie in 1979 as All That Jazz but it wasn't until 2001's Moulin Rouge that everyone realized that the big screen musical was back.
Mitchell praises Chicago's "bullet-timed editing and brassy, hip-shaking musical numbers" but steps a bit on Zellweger's blue suede shoes saying she has "two left feet." But thanks to the magic of movie editing (a trick unavailable in a live Broadway show) she still looks like she can hoof it.