A cruise up and down LSD is always nice. They could also try Oak Street Beach, not too many big cities have a beach downtown.
They can visit the Frank Lloyd Wright home and studio in Oak Park and also get a map there of other Wright structures there. I don't know exactly how many but at least a dozen withing walking distance.
http://www.wrightplus.org/Chicago has some wonderful boat tours, the view of the skyline from the lake is breathtaking.
Welcome aboard Chicago's original, and most comprehensive sightseeing and architectural boat tours. From the Chicago River Architecture Tour , our signature Combined Lake and River Tour or Chicago At Sunset Wendella is perfect for families visiting Chicago or groups on an outing.http://www.wendellaboats.com/tours.htmThat is just one outfit I can think of off the top of my head, there are others and there also are some evening dinner cruises.
Of course if they are women, there is always shopping. Michigan Avenue is the place for that. I've always also been partial to a trip to either the Sears or Hancock observation decks. There a restaurant in the Hancock called the 95th because it's on the, er, 95th floor. I don't know about the food but the view is excellent.
The other recommendations in this thread are top notch as well. The art institute is a must, it has one of the finest impressionist collections in the world.