This might not be early morning, but is too much fun to resist. Take a Segway tour. There are two outfits offering them, both downtown. Cost is $65-70 per person, and they train you how to ride the Segway then take you on a tour. The one we did was around Millenium Park, Grant Park and the Science Museum, and was complete fun.

We are now looking to do one in in Washington DC when we are there this August.