Chicago has wonderfully rich theater scene ranging from intimate storefront theaters to the famous improv comedians at Second City and any number of Broadway shows. The Cadillac Theatre in the Loop has a beautiful, richly decorated house for large extravagant Broadway productions. The Neo-Futurists up North on Ashland put on 30 shows in 60 minutes (and charge you the price of a dice roll for admission), and if you show up at Second City on Friday at midnight, you'll be right in time for a free improv show called The Midnight Melt. I saw Chris Farley perform at a Midnight Melt way back in the day and I can promise that all bets are off after midnight.
Live theater performances happen nightly in Chicago so when the weather cools down in the fall and the dusk comes early, check out Chicagoplays.com or theatreinchicago.com for something that tickles your fancy and go support theater in Chicago.