Harris Theatre, Grant Park, Chicago

Chicago has a huge variety of venues to watch a show. I personally would try and catch Second City who are an improv comedy troupe. If this is not your thing there are plenty of Broadway style shows and a host of plays at the Goodman and Victory Gardens theatres. If you are around during opera season the Lyric Opera is wonderful and well worth trying to get tickets for. In the summer there are often concerts in Grant Park and Millennium Park.

The following links give more details.

http://www.grantparkmusicfestival.com/

http://www.cityofchicago.org/city/en/depts/dca/supp_info/millennium_park_-upcomingevents.html