I just went to Kooza this past Saturday. It's my first CdS experience and it was pretty good. Some seriously death-defying acts (particularly those 2 crazies on the giant spinning hamster wheel thing in the 2nd half) made for a good time. It seemed that there were several restaurants and shops along Madison on the way to the United Center from 90/94, so that may be a pre-show option although, to Sweet Willie's point, it's a relatively short drive from downtown.
Btw, we saw the 4pm show and it was nice and cool inside the tent. They keep the a/c blowing the whole time, so you should be comfortable. We were seated in the "Price Level 1" section 200. GREAT view, although I suspect it was quite good from almost anywhere except the extreme sides (Price Level 3). Use the bathrooom before and/or after the show. It's nuts during intermission. If you must go during the break, wait until the end lest you end up waiting in line for 15 minutes. Also, the popcorn is way too salty.