Oooo I love Chicago and totally agree....around Michigan you have tons and tons and tons of cool, unique, and beautiful places!
Suggestion that's partially off the question...take a water taxi...it's not that expensive and is a great treat (I want to say it was $6 per person but can't remember). You can take it from Sear's Tower or Michigan (by the drawbridge) to Navy Pier. (Make sure you get the water taxi one and not the "tour" one...way more $$$). If you're one of the first one you can get a great standing area by the edge of the boat for some great shots too (of her and of the area!).
Navy Pier has some cool areas and the park as well.
Have fun, we were just there in April for our yearly (it seems to be becomming) trip!