Go out and party

There is a crap load of bars, clubs, and various other things to do... and have some pizza of corse LOL Giordanos is my favorite, but Lou Malnati's is pretty darn good too, as is Ginos East. This aint your pizza hut pizza here

BTW kumachu said the subway system... well we dont have much of one of thoose, we have the CTA trains, aka the elevated trains. Just dont be riding em at 3AM, lots of freaks on em around then hehe. But deffinetely check out navy pier, pretty much if you walk around youll find stuff to do
You can find good food pretty much anywhere, you walk around youll find lots of small places to pick up a good burger hotdog or whatever you want. My fav place to stop at just to pick up a beef sandwhich, hotdog, or hamburger is portillos... its a fast food place, but its the furthest from fast food youll really find, great food.
Stop by the House of Blues or the Metro to hear some live music... I prefer the Metro myself. If you enjoy some clubs there are some like Crobar also.. tho I dont much go to thoose myself.
I couldnt name half the places to go... but someone else posted a link to chicago.citysearch.com and that lists a shitload of places.