Check out one of the water taxi services that cruise the Chicago river and go over to Navy Pier. They both have stops near Union Station.

http://shorelinewatertaxi.com/navypier.php
or
http://www.chicagowatertaxi.com/

Since it's geared towards transit more than the siteseeing, it's cheaper, but goes the same places. Nice views of the Wrigley building, the corncob buildings from Steve McQueen's "The Hunter" etc. Definitely worth a one-way ride at least.