Mark Hammergren, of the Adler Planetarium, dispenses pretty quickly with the idea that a comet could have caused the Great Chicago Fire. But he's quick to bring up a different episode, 100 years ago, when a comet fragment may indeed have scorched the earth. In 1908, over Tunguska, Siberia, a massive explosion and airburst leveled a huge area of remote forest. Scientists believe it was probably a meteoroid or large comet fragment that blew up in the atmosphere, stripping limbs from trees and killing hundreds of animals.
So what's the difference between that and the Chicago Fire? For starters, it produced an explosion in the sky that Hammergren compares to a nuclear blast. It's not the kind of thing that would escape notice, and yet there's no record of anything like that in Chicago in 1871. Also, the Siberia blast produced towering clouds that actually lit up the night sky. Again, nothing like that in Chicago's case. Anyway, if you're nervous, you can keep tabs on asteroids, meteors and comets through NASA's Near Earth Object Program.
Meanwhile, on a more everyday scale, here is Daniel Fessler's evolutionary explanation of why I used to play with fire as a kid. As a side note, Fessler says that his paper didn't get as much attention as he might have hoped. But it did help provide the seed of a hypothesis that has since become a major research focus for him: namely, that developing humans (especially young children) have periods where they are programmed to be interested in certain things that have had importance over evolutionary time spans (controlling fire, building shelter, understanding dangerous animals). Back in the day, that interest would lead to acquiring the relevant skills, and then the fixation would wane. But if social factors (like living in an urban area, for example) make it hard to learn the skills, the fascination may persist, and even become a kind of fetish (my word, not Fessler's!). Finally, I can't resist pointing you to this valuable safety message. It's a WWII-era film on fire safety, of the "blood on the pavement" genre:
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I just adore the tone of the narration -- Ward Cleaver pedantry with a touch of, "C'mon, don't be a freakin' idiot, eh?"