I second taking the train in from Midway, and everything said about the Purple Pig.
As far as a little more intimate dining on Michigan Avenue goes, I can't recommend the Gage highly enough. Phenomenal food, exceptional service.
Chicago style pizza sucks. But the pot pie pizzas at Chicago Pizza and Oven Grinder Co. are brilliant. It's a great place to go after doing Lincoln Park, the zoo, the conservatory.
Navy Pier pretty much sucks, but is not without its hokey, Bransony charms. The Ferris wheel is kind of fun, and there are lake cruises that leave from there that are pretty nice, look for deals online and go around sunset.