Chicago has a beautiful shoreline, especially just south of downtown by where three museums converge: The Adler Planetarium, The Shedd Aquarium, and the Field Museum. In the downtown area you can visit Macy's if you want to shop. Also, on the Chicago River you can catch a Wendella or Mercury boat cruise that points out the architectural skyline of the city. The downtown hotels are expensive, though-I'd suggest staying out in a suburb.
As far as eats go, there's Ed Debevics --that's not really expensive, and it's a fun place. The Rock Bottom Cafe is pretty inexpensive, too--both are just north of the downtown area, by the Rock & Roll McDonald's. There is also a Hard Rock Cafe in town. You could catch drinks at Excalibur (a big nightclub)-also right there.
