If you want something a bit more upscale than Sun Wah -- you might consider the Magnolia Cafe on Wilson. I have no idea if they're open on NYE but I'd give them a call and find out. It's within walking distance of the Wilson el stop, which is one stop down from Lawrence, where the Aragon Ballroom is. It's a charming, small, American restaurant that focuses on good food with italian and french twists and I've had two meals there that were lovely. it's a pretty room, it's not horribly expensive and it's actually quite romantic and dark if you're there with a loved one. You could also do something in Andersonville if you don't mind more walking -- god knows what weather this NYE will bring! But there are several nice places in my hood -- Anteprima, the new Acre, Big Jones (which I do hear is getting better than I remember it being) and JinJu, if you fancy upscale Korean. Also HopLeaf is out there for Belgian pub food and great beers.
But honestly, I think Magnolia Cafe is a bit of a gem. And I think it would be lovely to bring in the NY there before a concert.
1224 West Wilson Avenue
Chicago, IL 60640-5517
(773) 728-8785