Memorial Day is a good weekend to go to Chicago since not a lot of people do. We got a great hotel (Marriot Residence in on East Walton) for $90/night and were two blocks from the lake. If you're going to Chicago, you want to be north of the river, preferably in the Gold Coast or Old Town neighborhoods.
We had three things we wanted to do: Adler Planetarium, Oak Woods cemetery and Enrico Fermi's grave (my wife loves me), and dinner with our friend Joe.
We got them all done.
I'm not sure when we'll be there next, but I do want to see the play "Burning Bluebeard" this winter.