If you have a few hours to kill after the Expo, and want to be entertained outside of a traditional theater, improvisational comedy (improv) was created in Chicago in the 1950s and 1960s, and maintains a strong presence.
It's a stand-up style of show, usually comprised of either long stories or short segments driven by audience participation. Most or all of the performances are made up on the spot, with the exception of general guidelines and pre-arranged games.
Two of the biggest improvisational and stand-up comedy troupes, The Second City and I.O., came out of Chicago and are still headquartered there. Both feature primarily long-form improv, which is a combination of semi-scripted and improvised events within a play. The best known long-form improv set is called The Harold, which uses initial audience suggestions to create spontaneous interchanging storylines that last for the duration of a play.
The Second City was likely the first improv club, and has since expanded into multiple touring groups and an improv school that has produced comedians such as Tina Fey, Mike Meyers and Stephen Colbert. The company puts on a few shows each evening, including one main recurring show.
I.O., originally called ImprovOlympics, puts on multiple shows every night, ranging from the traditional Harold to improvised Shakespeare or Star Trek. Tickets can be purchased at both of their websites.