Um... You'll probably want to check out Millennium Park, just north of Grant Park, where they have the bean. They have an art museum that's just north of that that's cool if you're into art. The Magnificent Mile is a shopping district just north of that. Gino's East is just off of that, and they have Chicago-style pizza. Wrigley Field and Wrigleyville are worth going to. If you take the red line north and get off at the Addison stop, there's a lot of stuff around there to check out.
A lot of the stuff closes down pretty early downtown, but when the concerts get out, there are a lot of nearby Subways that'll be open and you can get $5 footlongs. During Lollapalooza, there is usually a stand at the north side of Grant Park that you can get a big tray of chicken strips for $5, by far the best deal there.
I went to Lollapalooza the last three years, so if you have any more questions, feel free to ask.