Oak Street Beach in winter is a great free place to take the kids and let them run around and scream their heads off without disturbing another living soul. The lake is gorgeous and the buildings up and down the gold coast are lovely to look at -- you also get a good view of Navy Pier.
Actually the girls wanted to go to Navy Pier but the place was just too expensive for the three of us. I've been before and by the time three people do three things and have a coke each, well, it's not as bad as Disneyland but too rich for my blood -- this was a two week vacation just before Christmas and I definitely needed to keep within the budget so Navy Pier was out -- Oak Street Beach was in.
Wearing our coats and mittens we walked up and down the bike/jog paths, sang Christmas songs quite badly, stared at the water, kicked sand and took lots and lots of pictures.
You can access the beach from one of the many pathways along Michigan Avenue, for a landmark, it's north of the Drake Hotel. If you're lost, ask the doorman.
Also... across the street from where the doorman stands is a bandstand, it is also across the street from the beach. In the winter there is nothing going on and it is a great spot to let your children run off some energy while you sit and think of other things. The girls put on some sort of bad play involving lots of hollering, but other than the doorman and a few cab drivers staring at us -- we disturbed no one.