Hi,
You might consider a visit to Navy Pier which has a free indoor tropical plant area (warm!) and other attractions such as a hall of mirrors, outdoor ferris wheel, etc. The easy thing is that you can catch a CTA bus number 148 right outside the train station and that terminates at Navy Pier. The bus fare is just a couple of $ each way.
A 151 bus will take you from the station down Michigan Ave, and you can visit the Watertower, or go to the top of the nearby Hancock Tower... not as high as the Sears/Willis tower near the station, but maybe less costly? Again, the fare is around $2 each way. Millenium Park on the lakefront is great, free too, with a massive reflecting "silver bean" sculpture, I think most kids would be impressed with that. Again, the 151 bus is one way to get to the Millenium Park, it is walkable, but a long trek. They had ice skating there too on an outdoor rink on my last USA visit, not sure when that is up and running.
Ed