I lived in Chicago for a solid 18 years, and in the following four (during which I spent 15% of my time traveling the world, 60% studying in Ohio, and 25% trying to get back), I've tried to go home as much as possible. Like a sea turtle returning to the beach of its birth, Chicago is the compass of my life. It's not too grandiose to admit; in fact, it's pretty literal. It's still the one place in the world I can find my way around, hobbled as I am with a poor sense of space and direction.
An old-school, janky movie theater that I believe still has $7 matinees. Used to be even cheaper, with 2nd-run movies, but these days has upgraded to current blockbusters and the occasional foreign film. GET ON IT!
Chicago Cultural Center
I tend to duck in here after a summer day at Millennium Park or the Art Institute, as it's situated quite centrally and provides a beautiful, air-conditioned space with no admission fees (or at least, there weren't the last time I was there). There are often art exhibits and music shows, there's an overpriced cafe, and a killer gift store. It's also right across the street from the CPS/Mayor Daley arts school Gallery 37, where I took a sculpture class from 2005-2006.
The Annoyance Theater