I have a child at college there so when we visit in winter we do...
Ice skating at the Maggie Daley Park Skating Ribbon followed by a trip to the Chicago Athletic Association Hotel - I just love the atmosphere there. They have a rooftop restaurant called Cindy's, and an amazing game room. Packed at the weekend so try to go in the week.
www.chicagoathletichotel.com
The stuff Zafferana said is all great, and we also liked the Shedd Aquarium.
You should do one tall building at least. I don't think it really matters which. One is in the Loop, another is up Michigan Ave.
You ought to go shopping up Michigan Ave too. Somewhere off it is Bloomingdale's Home + Furniture which is one of my favourite stores.
Pizza at Lou Malnati's - my favourite one is the one near Washington Square Park but they all serve the same food. That's a cool bit of Chicago to explore, up at the top of Michigan Ave.
I suggest the Architectural Boat Tour if it's not TOO cold. We've done it in late November and one of my kids survived despite forgetting her coat. Go with Wendella Boats. Wrap up warm. www.wendellaboats.com/Boat-Tours/chicagos-original-architecture-tour/.
We often go and see a college football or basketball game while we're there. This is basketball season, although I think football is more of a fun experience. DH is there in a couple of weeks and he's seeing Northwestern play basketball against someone while he's there.
Eat well there - the food is soooo good.
Explore some suburbs if you have time.
It's such a great city!