I've only been once, for a long weekend (I hope to be there more often soon, as my parents just moved to Chicago and are in a really cool neigborhood), so I can't say too much specifically, but I can say: Eat. The food is fantastic, from the high-end joints to the street stands and bar food. In my four days there in August I had three of the best meals I've had in the past year.
I'm jealous.
Also, there's a fantastic Mexican restaurant that I can't think of the name of right now that is to die for. I will try and remember to ask next time I'm on the phone with the folks. It's middle-to-high end, with a rotating menu that really has the feel of something the chef has put heart and soul into. And they have amazing margeritas that they shake at your table. I strongly recommend the fried grasshoppers as an appetizer, too.