If you do the Chicago Architecture Foundation river cruise, make sure you book it early. it is very popular. FYI, there is indoor heated seating if the weather is chilly and/or wet.

http://www.architecture.org/tour_view.aspx?TourID=8

For any of the popular theater options (e.g., Wicked, Jersey Boys), you're going to pay a huge premium as they sell out months in advance.

There is always the Cubs, of course, but for them, as well, you're going to pay. I'd try StubHub. If you want to see the Sox, you don't need to buy in advance.