I went to school in western IL, so I've been to Chicago a few times. Check out the Art Institute for sure. Also Macy's/ex-Marshall Field's is worth it just for the insane escalators!
The Museum of Science and Industry is cool, and the Lincoln Park Conservatory is lovely. Umm, food, Sultan's Market is really yummy and inexpensive. And again, Michigan Ave. for shopping! If you enjoy the theater, I saw Wicked in Chicago, and it was AMAZING.