You should have no trouble filling up your time in Chicago, be it a weekend or full week.
Music:
I second the recommendation for the Green Mill. If you’re not a city person, the neighborhood may strike you as sketchy, but in actuality it’s fine. Two nationally known artists make their residence there: Patricia Barber (piano on Mondays), and Kurt Elling (jazz vocals on Wednesday). They don’t play every week, but are there regularly.
Blues Chicago on Halsted has two locations about a block or so apart, and one cover allows entry to both. They are close to Kingston Mines, making that block or two a bit of a blues mecca.
Worth checking out in the South Loop is Buddy Guy’s Legends. Buddy is one of the last ‘elder’statesman of the blues, and whenever he’s in town, you’ll likely see him at the end of the bar. Almost worth it just to see the big honkin’ pile of Grammys by the front door!
If you do check out the shopping on Michigan Ave, there’s a nice jazz club, Andy’s, located under the street. Actually, where Michigan Ave meets the river, there are stairs going down to the lower level of streets, and the club is a block to the west (Yes, along the river, Chicago has two levels of streets, and it’s actually pretty neat to go zipping along Lower Wacker Drive).
Food:
Any of the deep dish pizzas (Giordano’s, Uno’s, Lou Malnati’s) are worth having; Giordano’s is a bit hit and miss according to which location you’re at.
Near the blues clubs on Halsted is a tapas restaurant called Cafe Baba Reeba. Tapas is basically Spanish appetizers, and it’s a lot of fun for a group of folks, and it’s something you can only really get in larger cities.
The area near Michigan Avenue just north of the river is called River North (surprise), and it is bursting with excellent restaurants.
Activities:
Sign up for one of the Architectural tours. There is so much more to Chicago architecture than the tall buildings.
The Art Institute is a world class treasure. And you can see all the paintings shown in Ferris Bueller’s Day Off.
Further north of the Art Institute is the Museum of COntemporary Art. Not my taste, but I understand it’s a good collection.
Shopping:
Michigan Avenue north of the river is some serious shopping (although it’s getting to look more and more like your typical upscale mall). The cooler stores, IMHO, are Niketown, the Virgin Megastore, and The Apple Store.
Marshall Field’s on State Street is a nice throwback to the old style huge department stores. The neatest thing is one section of the roof is a tile/glass (?) mosaic designed by Tiffany (of lamp fame).
There’s so much more to see and do… Have fun on your trip.