Definitely eat at a few of the famous restaurants in town, like the Billy Goat Tavern or Kamehachi or Dinkel's Bakery. Chicago pizza is a must-eat while in town, and there are too many great pizzerias to mention. Pizzeria Uno or Giordano's are really well-known and popular.
I highly recommend going to see the Sears Tower, the John Hancock Observatory and the amazing Frank Lloyd Wright Home and Studio tour. If you want to do a lot of sightseeing, you might want to consider a Chicago Go Card. It gets you admission into a lot of museums and attractions. Here's more info on the card: http://www.gochicagocard.com
The downtown theater district is amazing - tons of great shows, you may even want to see Chicago while you're in town ;)
A lot of the attractions in the Navy Pier are a lot of fun, but they may be closed due to the weather.
Definitely head out to Millenium Park, it's so beautiful there - and if you like to skate their ice rink is very fun. http://www.millenniumpark.org
Here's a story someone else had about their first trip to Chicago, and it was around the holiday season, too. http://www.globosapiens.net/travel-information/Chicago-1467.html
For more ideas, here's the official tourism site: http://www.choosechicago.com/Pages/default.aspx
Just surf through it and take notes of all the things you want to see and do.
Chicago is an amazing city. I'm sure you and your husband will have a great time. Happy Holidays!