Many years ago I used to live in Chicago, and there were two really cool haunts I remember. One was the Annoyance Theater which is great for performances; it may be all or mostly comedy. The sketch comedy I saw there was great, and (I can’t guarantee if this is still true) they had these great couches to sit on instead of regular chairs.
The second is the Vic Theater which has a “brew and view” which means during special shows you can buy alcoholic beverages as you watch the movie.
For Chicago style pizza (at least for the 15 years I used to live there) the best place was Gino’s East. I loved that place. I hope that they are still there.
During the day, of course there is Lake Michigan, and Grant Park is very nice. If you have access to a car, driving down Lake Shore Drive is really scenic because you have the Lake Michigan on one side and a great view of the city skyline on the other. Chicago has some sweet architecture and lay out.
The Museum of the Art Institute is known for a large Impressionist collection.
The Field Museum has the two stuffed maneating lions from the movie “Ghost of the Darkness”. The Shedd Aquarium is cool. The museums are worth seeing.
When I used to live in Chicago, there were two neighborhoods which were the arty ones, Wicker Park (home of Smashing Pumpkins, I’ve actually met James Iha once) and Bucktown. I have to say that the art scene there is very cool. It has a very different vibe from New York. If you like art, I would check it out. As another poster suggested look in the Chicago Reader for galleries. There were a few galleries I could recommend. I-Space (the Uof I Champaign-Urbana gallery), the gallery in the School of the Art Institute, and Randolph Street Art Gallery (experimental stuff very cool). If you are into contemporary art, you might like the Museum of Contemporary Art. It reminds me of a smaller, cuter version of the MOMA in NY. Art can be very hit or miss, but I’ve seen some great stuff there. It may be just my view, but I remember the art in Chicago being quite playful and cute. It’s a very creative city if you know where to look. Some great cartoonists have come from that city (ie. Lynda Barry, Chris Ware, Daniel Clowes).
I also have to mention Lake Michigan again. Great for relaxing. It’s very beautiful on a clear moon-lit night. If you stand by the edge of the lake, there is an optical illusion that the moon’s light will create line of light that comes from the horizon directly to you and will follow you. This may happen by all or most lakes, but I have very fond memories of it.
There is also a small Chinatown there where I had some good meals.
I believe that Chicago may also be know for their hotdogs with lots of stuff on them. I can’t recommend a place because I’m not that into hotdogs.
In terms of the blues and jazz, (I know others may disagree with me) but I didn’t think it was all that great there. I think in the past, it was much better I’ve heard. New York is better for jazz and blues. But I could be wrong on this.
I know you said that you’re not into shopping, but the shopping there is great. Good selection and good prices. You can get some really funky awesome clothes for not too much. I could recommend some places.
I could recommend some cool bars and clubs, but after so many years, I don’t even know if they are still around. They are small and cute as hell and have a really comfortable vibe (compared to New York where I moved later).
Chicagoans are really friendly and nice. Have fun.