Chicago advice?

We couldn't afford a family vacation to Europe this year, so instead, we're going to Chicago next week! We wanted to go somewhere in the United States where we could explore, eat well and also swim in a lake or ocean. And after my friend visited Chicago and showed me these snapshots of her daughter wrapped in a beach towel walking among skyscrapers, we were sold.

So, I'd love to ask: Any Chicago advice? We'd love to do it right, but we're pretty clueless. So far, we're planning to eat deep-dish pizza and hot dogs, and I've heard great things about this architectural boat tour. Thank you so much for any tips!
P.S. Past family vacations, and 10 tips for traveling with a baby.

(Jumping photo from ChicagoGuide08, via Apartment Therapy)