Do the Chicago Architectural tour. I've done it twice, and it's pretty awesome. Just a nice hour cruise down the Chicago River, with some pretty spectacular views.
There is a beach. There is North Avenue beach, which is absolutely packed with 20 somethings for as far as the eye can see, but there is also Oak Street beach, which is just a few blocks further south, and is much more quiet.
For pizza, my favorite deep dishes are Lou Malnahti's and Gino's East, with Giordano's holding up the rear. They are all pretty good.
For a steakhouse, gotta go to Gibson's. Must make a reservation if you go. There is another one I love called Gene and Georghetti's (sp?).
Chicago style hot dog - There are tons of places for these, but my favorite is Portillo's.
I've actually not branched out to too many eateries since I've lived here, so I'm not that much of a help there.
Top of the Hancock building - It's free to ride to the top, and there is a bar and a restaraunt up there with an outstanding brunch. Drinks are pretty expensive up there, but it beats paying to go to the top of the Willis (Sears) Tower.
Shedd Aquarium - I've actually never been, and wouldn't actually suggest doing too many indoors things, but I've heard this place is awesome. I think it's kind of pricy though.
Chicago Art Museum - Pretty famous museum. I've been once. Art isn't really my thing, but if you're into that kind of thing, you'd enjoy it.
Here's a link to several festivals that will be going on this weekend
. I will be going to Old St. Pat's.
That's all I can think of for now. Shoot me a PM if you have any questions or need any further advice. Enjoy!