I saw the Ozzfest offdate in Denver for that tour. They did the full European set there. They played Murders In The Rue Morgue, Another Life, Prowler, Remember Tomorrow, Phantom Of The Opera, and I think Drifter. They don't normally play those. They had to drop a few songs for the timeframe they were given on the Ozzfest shows.
Big 3 markets in the US. The Chicago market is probably behind New York City, Los Angeles, Toronto, & Montreal for Iron Maiden in North America.
EDIT: I would also add Mexico City to the list as a top North American market for Iron Maiden ahead of Chicago.