It's a little bit of a drive from Chicago, but there is a Midevil Times Dinner Theatre in Schaumburg. I've only gone once, but it was really fun.
The other suggestions you've gotten are all great. State Street in the Loop has some great shopping too, and it's close to Millenium Park if you want to spend a day on that end of town.
The architectural tour is fun, you take a boat down the Chicago River and out onto the lake. There are tons of different bus tours as well.
There are also some great shows to see in Chicago, including The Lion King, which just opened. Many of the hotels have access to tickets, or you could plan ahead and buy online.
You didn't mention if it's a family trip or not, but if the kids aren't coming with then there are some great comedy clubs, and my absolute favorite restaurant is Cafe Iberico (excellent spanish tapas, awesome sangria, not expensive), which you could do in the daytime for lunch with the kids, but at night it's pretty busy and not really a good place for family dining.
Make sure you stop in for some Garrett's popcorn, but don't go to the one on Michigan Ave, you'll wait in line forever there. There are a couple locations in the State St shopping area that are far less busy.
This weekend is the Chicago Marathon, so there's bound to be some related activites if you are interested in that kind of stuff.
Most of the shops downtown close around 7pm, so keep that in mind when you plan out your day. Also, it is COLD up here this time of year, and by the lake it's even colder because of all the tall buildings blocking out the sun and it's definitely windier by the water, so dress warm!
Have fun on your trip!