The Field museum is really cool. It also has the bonus of being right next to the Shedd Aquarium and the Adler Planetarium. You can go to millennium park and see the "bean". If your into tall buildings, the Hancock Tower and the Sears Tower both have neat observation decks. Although if your going to the hancock, I'd recommend going to the lounge instead of the observatory. You get the same view, but since it's a bar, you'll pay the same price for a drink as you would for the observatory ticket. May as well take the cocktail.
If art is your thing, the Art Institute of Chicago has some really famous works and the Museum of Contemporary Art is nice as well. If your a shopper the "Magnificient Mile" on Michigan avenue has tons of stores, most quite expensive.
If the weather is nice, Navy Pier is also fun.