If you really want to feel like you're experiencing Chicago, you have to ice skate at an outdoor rink. Of course the rink at Millennium Park in downtown Chicago is the best---it's big and there's the view of the city while you're skating around the rink.
Recently, we also enjoyed skating at MB Financial Park in Rosemont. We chose a pretty warm day after Christmas, and headed to Rosemont with Scott's mom, my parents, my sister and her boyfriend. It's free to skate, but rentals are $8 per person. My kids are still ice skating newbies, so Scott held up Johnny the entire time, and Julie nervously shuffled along, while clinging to my sister or me. My mom whizzed around the rink....until she tripped and face-planted on the ice. Poor Mom. This was her second winter injury of the trip. She also hurt her hip while jumping a mogul while sledding.
After we were sufficiently worn out from ice skating, we noshed on huge Bavarian pretzels and sang German songs at the Hofbrahaus. The kids, their grandmas and I marched and played instruments, and Scott couldn't leave without guzzling a stein of German beer.
If you're not into German food, in the same park are an Irish pub, a Mexican restaurant, an American/southern restaurant and an upscale steakhouse, as well as a bowling alley and an upscale movie theatre. And, you can pretty much walk to the new outlets!