They're so many stories because they're built UP instead of OUT like most malls. To be completely honest the Woodfield Mall (in the suburbs) probably has more stores. However, both malls are nice and fun to walk around for a while. I would recommend Water Tower Place because the Macy's is huge and really nice (I'm pretty sure the Macy's goes all the way up) plus, even if you don't like girly stuff the American Girl Store is pretty neat to walk around.
Also, Water Tower Place is kindof at the epicenter of the Magnificent Mile. If you're sick of the mall and want to walk up and down Michigan Ave. and see what's there you're pretty much in the thick of things. Their website is
www.shopwatertower.com
As for Union Station, the Sears Tower is close to there (just across the river). That's the business district so you're close to the Chicago Board of Trade Building (also known as Wayne Tower from the Batman Movies) and a lot of other *veryimportantpeople*.
Navy Pier is within walking distance from there, but it'll take a while to walk there (I think it took live-in and I about 45 minutes or so when I visited him before I moved here - maybe longer but we did make a few little stops along the way). It's a short and cheap cab ride, though. Grant Park is also directly down Jackson Blvd toward the Lake. My idea of "walking distance" and other peoples' ideas of it are very different though.
Union Station also has event space which I've heard is beautiful so you should check that out, too.
I would really suggest (if the weather permits it) walking around the business district where Union Station is (or as live-in calls it, the "purple zone") if the weather is nice and you can. There's lots of stuff to look at and I think it's interesting stuff.