Note, that once you exit you may not be able to get back before TSA checkpoints open at 4:30am.

Aside from the Rivers Casino mentioned above I would expect very few options around O'Hare overnight. There is a gentlemen's club within a short cab ride, if you're into that sort of entertainment. It's open until 4am.

You could also take a train all the way to the city and admire nighttime Chicago. A few places will be open until 2am (3am on weekends) so you can enjoy live music.