Well, I hate to wuss out and simply point you to another site, but this is the sort of thing the Chicago Tribune always does, and their dining site, Metromix, has a roundup of places
here.
To add some value to the equation, I would say Avenues is the finest restaurant on this list, there are many reviews here, though its atmosphere does not completely overcome the hotel-dining feel. Still, if you can swing the $150 per person, that would be exceptional.
I don't feel qualified to comment on the food at MK, not having been there in 5+ years, but it has a hipper loft-like space and a generally good reputation for food (a now-closed suburban one got some negative reviews, though). For less expensive and a nice, intimate place, Cafe Matou is a very pleasant neighborhood French restaurant. If romantic is the main criterion then that's probably the choice. Also fitting that bill (nice neighborhood place), but not on their list, is Brett's-- you can see the Christmas menu here:
http://www.brettscafe.com/
Cy's is just on the list for the folks who only care about steak, I guess.