Wow--so much stuff to shoot in Chicago. For an urban area, it is a photographer's paradise.
Let's see....Frank Lloyd Wright and his studio/house are there as well as the church that he did (the Unity Temple)...I highly recommend you make time for those. Very cool to shoot those spaces. House of Blues and architecture around the entire city, especially high-rises. The Ferris Wheel on the Navy Pier at night. Art Institute of Chicago--I had a blast shooting that space and the environs. The BP Bridge is cool. Chicago is a superb city for outdoor sculpture (like the Picasso at Daley Plaza, or the Agora). Millennium Park as a whole is cool not just the Bean, also the Shedd. If you're lucky, you'll still have some really cold weather so go shoot the Lake around Lakeshore Drive, especially up around Northwestern...I've managed to catch frozen waves there. In fact, that vantage (north shore suburb on the lake aimed south) will give you some beautiful silhouettes of the city. You want to shoot some food? Chicago is one of the few places you can get a real stuffed pizza (not deep dish--stuffed pizza makes deep dish look like pizza for someone a diet). The Magnificent Mile at night. Depending on when you're there you can go to Cubs game at Wrigley and get some lovely photos there (shoot with high grain and/or sepia and you'll get an old-time look to the shots). If you're there around St. Patrick's Day you'll have to shoot the green dye in the river.