Hi Jamie,
I spent 5 days in Chicago over the Christmas period. Due to the time of year it was cold, empty and mainly shut, but I still had fun!
If you are not All Museumed Out after getting a load of ol' Tutties then check out the Art Institute for an afternoon: superb collections of art from all around the globe. A walk up Michigan Avenue is also enjoyable for gandering at shops and architecture.
The Chicago YHA offers excellent free walking tours of the city performed by local volunteers. I think they're exclusively for people staying there though. If you're not planning on YHA-ing it, no harm in popping in to have a look to see when the next one is - the signup sheet is on the tour desk upstairs opposite main reception - you might even be able to blag a place on it

I'm an indie kid through and through but 'fraid I can't help you on the gig/bar side - can any locals help out?
cheerio
steve