You definitely need to hit the Shedd Aquarium. The dolphin show is a hit, and it’s right on the lakefront. Also, Maggie Daley Park is way better than Millennium Park for kids the "Play Garden" is massive.
If you’re going with kids, I’d definitely check out the Shedd Aquarium and the Museum of Science and Industry, they’re super interactive; when I visited with family, the kids also loved running around Millennium Park and seeing the “Bean.”