Was there for a week in March 10. Cracking place but try to go in the summer/autumn as it was baltic!
We stayed near Millenium Park, which is pretty central and has loads of amazing sculptures and exhibits, open air concerts in the warm months too. Its near the magnificent mile (shopping for the good lady) and Navy Pier which is touristy but good fun. Other things to do:
Blues clubs - Buddy Guys Legends has live blues every night, was brilliant. Bit of a dodgy area though so get a cab.
Gangster Tour - we booked a gangster tour via the hotel, sounds cheesy but gives you a good bit of the history and takes you round the city, the 2 guys that did it were hilarious too.
Sears/Willis Tower - go on to the Skydeck - 2 glass boxes that jut out of the building on the 100-something floor. Shat myself.
River cruises - another good way to see the city & some of the history.
Take in the ice hockey, Bulls or Bear, easy to look up/book in advance in Ticketmaster.
Lots of museums and a good aquarium too.
Go to Giordanos for an original chicago deep pan pizza. We got a small between 2 and couldn't finish it. Thats why so many americans are fat.