Macy's has decorated their windows, keeping with Marshall Field's holiday tradition. This year's theme is Mary Poppins. There are also indoor decorations - - ask to be directed to the Walnut Room tree.

There is a holiday-themed model train exhibit in the John Hancock Building.

I'm pretty sure they have a "Christmas Around the World" exhibit every year at the Museum of Science and Industry.

For a warmer activity, consider the holiday flower show at the Garfield Park Conservatory.

Walking Michigan Avenue is always great, especially now as Christmas approaches, it's also very crowded. I note this not to deter you, as it should be your primary activity (IMO), but you'll want to keep this in mind when you select a child-stroller for your mission.