Good for you! Like visiting any city, a good answer depends on how long you'll be in town, where you'll be, whether you'll be toting others with you, your existing obligations, etc.
The downtown area (including Millennium Park) is pretty much standard fare. Given the rural nature of your typical scenes, however, you might also like to visit the Lincoln Park area. This is an enormous park along the lakefront just north of downtown.
Winter in any city, and especially Chicago, holds tremendous promise but can be hard to capture when you're on a tight schedule.