Well, what do you like to do when you travel? You didn't give us much to go on. So I'll point out the kind of stuff I'd do on a madcap Chicago weekend.
Architecture -- Lots of cool stuff. There are the boat tours of downtown that give you an overview of the skyscrapers (doubtful the boats will be running in March though). The architecture society runs walking tours that are very good. There's all the Frank Lloyd Wright stuff out in Oak Park (and the Robie house down near the University of Chicago) -- those are musts if you're interested in FLW. There's a free Loop tour that's fun to do -- you get a free ticket to ride a special run of the elevated train (couple times round the loop) that has a narration telling you about the buildings you're going past.
Theater -- Chicago has some outstanding theater going on. What's fun about about Chicago theater is *not* going to see the big-name, big-star shows you can see everywhere else, but the local, small-venue, and experimental stuff. Catch a show at 7 or 8, then do something silly like Second City or Too Much Light Makes the Baby Go Blind at midnight. (Same-day discount tickets for lots of shows are available at the Water Tower.)
Eat well, cheaply -- Ever eat at a cooking school's student restuarant? Great food and it's great to watch them at work in the kitchens. CHIC Cafe is hard to beat.
Furniture shopping -- If your city doesn't have a Crate & Barrel, Room & Board, or Design Within Reach, now's your chance! [ March 11, 2006: Message edited by: Michael Matola ]