For me, it boils down to:

1. If you are mostly interested in shopping and restaurants, stay in the North Michigan/Wacker/Magnificent Mile area.

2. If you are mostly interested in the Art Institute, Field Museum, Planetarium, Aquarium, Museum of Science and Industry, Millenium Park, stay in the area of the Palmer House (Loop).

The theater district (info at www.broadwayinchicago.com) is sort of in between, but closer to the Loop/Wacker.

But I wouldn't worry about location if you can get a good downtown deal on Hotwire/Priceline.

The stuff you want to see is mostly within comfortable walking distance, or a few dollars by cab. This ain't LA.