Hi AJ,
Thanks for your interest. There are a couple different ways you could distinguish events in different cities.
One way is to have a different Event Categories for each city. So instead of categories like Meetings, Parties, etc. you would have categories like Chicago, New York, etc. Then you could link to calendars by category (as explained here) so that users could see the events for one city at a time. If you have the cities as categories, you could also use this free plugin to color your events by category.
Events Calendar PRO 3.0 includes a Location Search feature, which might be extremely useful to you and your users. You may also be able to build an additional city filter for the calendar, although that would require heavy customization and is not something we can provide extensive support for.
One more thing that may interest you is that we are working on a Filters Bar add-on. That will allow users to search for events by criteria like Category, Tag, Venue, and more. You can check out a preview of that plugin here (scroll to the bottom of the page).
I hope that gives you some good options. If you have any further questions, just let me know.
Cheers,
Leah