If you do a 30 second google search you'll find a million things to do in Chicago. I'll tell you a little about my favorites. This doesn't mean other things on the list aren't good. They are, I just can't list everything, you know?
Sporting Events: While living in Chicago we went to games of six of the seven national sports teams housed in Chicago. The only one we didn't get to was the Chicago Fire (soccer). We loved them all and would have loved to see a Fire game but it didn't work out. My favorites are the Blackhawks, the White Sox and the Cubs. It's weird to live in Chicago and like both the White Sox and the Cubs but since I wasn't born there I feel I can get away with it. If you get lucky enough to have tickets to the Cubs you are in for a great experience. It is definitely a party in the stands. I think people go as much to party and see friends as much as see baseball. The White Sox tickets can be pretty cheap, which makes it great for a family event.
The Beach: Chicago has beautiful beaches. North Avenue Beach is generally overcrowded but fun. Parking is non-existent. The southside beaches are just as beautiful and sunny but less crowded. I love The Point which has it all. You can have a picnic in the grass, barbecue in the pits they have, play on the beach or join an ultimate Frisbee or soccer game. Parking is free.
Magnificent Mile: If shopping is your favorite vacation activity, this is the place to be. Check out the official website and prepare to drool. They have it all.
Chicago River Architectural Tour: We did this tour three time and would still jump at the chance to do it again. Each time was with a different company and each of them were great! This is a must do. Check out this site or this site or this site to book a tour.
Millennium Park: This is definitely one of the most beautiful parks I've ever seen. The grass is green and plentiful, there's tons of things to do and great food close by. I love the amphitheater where they have concerts in the summer. They have fountains to play in when it's hot, ice skating when it's cold and the bean all year round.
Summer festivals and events: All summer they have awesome things downtown. There's the Taste of Chicago, Blues Fest, Jazz Fest, and the Air and Water Show.
I guarantee you won't be bored in Chicago, just try to plan your trip in the summer. It is definitely the best Chicago season.