I would suggest you stay in or around Michigan Avenue, preferably North Michigan. Shopping on your doorstep and handy for the sights too.
We have friends in Ilinois so we usually do a couple of nights downtown in a hotel when we visit. Have stayed in the Sheraton, Intercontinental, Hyatt, James and Hilton (Hilton is South Michigan and my least favourite of all the hotels we've stayed in) . My favourite of the lot is the James followed by the Sheraton. We usually book on hotwire or priceline to get good rates.