the world's first skyscrapers and still some of the biggest - if you like that sort of thing there are modern architecture tours which I greatly enjoyed. Some go by boat out into the lake. Also Frank Lloyd Wright buildings out in the suburbs - get there on the metro train service.
One of the Best Cities in the world IMHO
Magnificent Mile for shopping
Go to the top of the Hancock tower for a drink and the best view and don't foreget to check out the ladies toilets for the view too!
Take the Architecture River Cruise on the river
Go to the pier and go swimming in the lake