Well, I am a native of Philadelphia, and a resident of Milwaukee. Unfortunately, I have been out of Philly too long to remember it all, and not in Milwaukee long enough to have learned all of their secrets!
Philly: Of course, everyone knows the cheesesteak, the soft pretzel, and the hoagie. Many know water ice (pronounced locally as "wudder ice"). But did you know soda was invented in Philly? Other local favorites, not as well known, include scrapple, pork roll, hot pork sandwich (preferably with provolone and broccoli rabe), pepper pot (a soup made with tripe), and snapper soup.
From Milwaukee, I imagine everyone knows bratwurst, and uhhh, beer, and cheese curds. Fridays are for fish fry, but I think that is pretty widespread. Of course, Wisconsin produces more cheese than any other state, but did you know they produce more ginseng and cranberries, too? Back to food: Local specialties include the butterburger (hamburger cooked in pure butter), frozen custard (as in real custard, with eggs), and the cream puff. For some unknown reason, Wisconsinites consume more brandy per capita than any other state. (If you order a Manhattan in some areas, you need to specify if you DON'T want it made with brandy.)