Capital Grille is a great choice ANYWHERE they have a restaurant. For a steak place, it's very reasonable (especially if you are in a situation where you can split because the bigger steaks are barely more than the smaller ones). They also have a HUGE wine selection with a lot of choices at every price point.

However, there are A LOT of good restaurants that you can only eat at in Chicago or in very few other cities. I love Capital Grille, but I'd choose elsewhere in Chicago. For steak, Gibson's is worth trying. One place that might get overlooked because of its location is Trio. It's in Evanston (near the Northwestern campus), but is well-known as having some of the best food in the Chicago area. (Pete Miller's in Evanston is also a really great steak restaurant.) There are a ton of other places in Chicago itself that are probably worth trying as well -- it all depends on what the occassion is and what type of food you want.