Chicago in January is brrrrrrrr....
If you are downtown and looking for stuff to do, I'd point you indoors. The Art Institute, The Field Museum, The Shedd Aquarium, The Museum of Science and Industry, etc. I'm also a big fan of a couple of lesser known spots, including the Museum of Contemporary Art, or the Chicago Historical Society.
I have numerous favorite hang-outs, but a secret of mine is to go to the John Hancock building at 5:00 PM when no one else is there, take the elevators to the 95th (an expensive, swanky restaurant) and walk up to the Signature Lounge on the 96th and grab some window-front lounge seating and watch the winter traffic stream out of downtown. A cheap glass of house white, and you get to relax in comfortable seating while the tourists one story below have to pay $22 just to go up to the observation floor
It's where I hung out with my wife-to-be on the night we got engaged (but that's a different story).
Of course you can always go to
Southport Lanes. I'm a part-owner
Tell them I sent you and I think you get free bowling shoes