Y'all should come experience the glory that is Milwaukee.
Some really great night life and dining here, and you'd end up spending a fraction of the money on it that you would most places.
In regards to Chicago and Milwaukee... visited both for 3 days.
Chicago - loved it. Brother-in-law's graduation. Took us to some awesome pizza joints, Italian restaurant, a great place in China Town, as well as a Sox game. Had a lot of fun. People were generally friendly. Big portions of food. Lots of beer. (no Kumas, though... not enough time.)
Milwaukee - went for a friend's wedding. Stayed at some hotel with like Buck Rogers 70's show lighting and stuffed game in the lobby. That was hosting some SciFIConGameGemConCon or something. People in costumes. Ugh.
Caught a Brewers game in a nice box. Your stadium looks like a knock off of the BOB or whatever the AZ Diamondbacks call it now. The beerslide being replaced by that cheapo yellow plastic thing was a huge letdown.
Was the Designated Driver for 2 of the 3 nights there, which sucked. Particularly the bachelor party at some bar on the river. Ran into the bridal party, all went to some "Friendly's" like place for food. Groom got violently ill. Gave my food money to the poor kid that was going to have to clean it up, went hungry. The ladies were loud, much to the annoyance of everyone in the restaurant. I uttered to a friend, "God I wish I wasn't sober right now..." one of the girls overheard, and, with everyone in the place already looking at us, pulled out a bag of weed from her bra.
I left and waited outside at that point.
Had to take the groom to the hospital with two of my friends. Was there until 5am. We went outside and played SocceRock (Footrock?) - just kicking midsized rocks into the storm drain. For about 2-3 hours.
The only night I really had fun, I do not remember at all. I just remember boozing when someone else offered to drive, and getting 90 minutes to sleep before driving to O'Hare the next day.
I'm sure it's a fine city, but the highpoint of my visit was the Sausage Race.
(Sorry if long, but that's the cliff notes version of the weekend)