A totally different option (which I think is underused) is the null object pattern. It's hard to tell whether it makes sense in your particular situation, but it might be worth a try. In short, you will have a NullContact implementation, a NullAddress implementation and so on that you use instead of null. That way, you can get rid of most of the null checks, of course at the expense at some thought you have to put into the design of these implementations.
As Adam pointed out in his comment, this allows you to write
if (person.Contact.Address.City is NullCity)
in cases where it is really necessary. Of course, this only makes sense if city really is a non-trivial object...
Alternatively, the null object can be implemented as a singleton (e.g., look here for some practical instructions concerning the usage of the null object pattern and here for instructions concerning singletons in C#) which allows you to use classical comparison.
if (person.Contact.Address.City == NullCity.Instance)
Personally, I prefer this approach because I think it is easier to read for people not familiar with the pattern.
