Chicago is amazing! I've spent a few days there every summer for the last 10 years!
Of course, the shopping. Everything you could ever want is somewhere on Michigan Avenue.
There's a building (a mall really) called the Water Tower Place on Michigan Ave that has great stores and a Mezanine level with all kinds of food stands and stuff...good for breakfast and in walking distance of a lot of hotels.
Navy Pier is great. At night you can always find a band playing at the Beer Garden. You can shop at a bunch of fun little stands, ride a ferris wheel, etc.
Shedd Aquarium and the Museum of Science and Industry are cool, if you're into that kind of thing. I've been a couple of times, and once you've been there you kind of get over it, but they're cool places.
Catch a baseball game for goodness sake! (Again, if you're into it) It's the Cubs' turn finally! (Probably not since Prior and Wood are on the DL) But between the Sox (US Cellular Field in South Chicago...careful, bit of a rough neighborhood around there) and the Cubs (BEAUTIFUL Wrigley Field in the north part), there's always a game going and the atmosphere is great.
Food: If you're into Italian, my two favorite restaurants in Chicago are Magiano's (careful, LOTS of food) and Scoozi.
I don't know anything about the clubs, really, since I always go with family
It's a really fun city!