Wrigley field of course!
Also the Museum of Science & Industry is sweet! Ya gotta see Omnimax

(its at the museum)
Stadium seating with literally a wrap-around screen like a dome around you... very cool

They also have lots of other cool toys there

Used to go a lot as a kid.
Shedd Sea Aquarium is also pretty cool

Sears Tower of course, if you're into that kind of thing.. There is a House of Blues there too

(I believe!)