Going to Chicago in May...
A few ideas:
I don't know when they start, but the city used to shoot off fireworks every Saturday evening in the summer off of Navy Pier.
The Chicago Botanical Gardens nort of town, in Deerfield, are fantastic. (car required)
The view south down LaSalle Street, with the Chicago Board of Trade building at the end is a great shot.
Also on LaSalle, the Rookery Building is a Sullivan classic, both inside and out. (fast lens required for inside)
Millenium Park is fun in nice weather for people watching.
There is an architural boat tour that tracels up the Chicago River that is very interesting and gives a city perspective that is unique.
Have a great trip.