I suggest you check out the City of Chicago's website
www.cityofchicago.org. If you click on the link that says "Things to do" You'll get a lot of ideas about what's going on in the city.
If you all are staying downtown it may be wise to use public transportation or take cabs.
As everyone stated Michigan Ave. and State St. or good places to shop. You also might want to check out the Water Tower Place Mall since its downtown as well.
I'm not sure what you all are into as far as night life. If you like jazz you might want to try out the Green Dolphin. I've never been, but I've always heard that the Shark Bar was a really nice club. Going to the Navy Pier at night can be fun as well. Sometimes they have fire works at night and the view of the city and the lake is awesome.
Checking out the metromix and city alert is definitely a good idea.
Since I don't usually go out to clubs that often, I'll ask some of my friends about the "hot spots" and I'll get back to you.
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