If you are pressed for time and do not want to re-park, I have had several good dinners at the Daily Grill in the hotel right by the Theater. This is a pretty darn good chain-- in fact, IIRC, Saveur even endorsed them in a previous year-end issue. The atmosphere is kind of 40's supper club; the service is professional. Menu runs to classics and comfort food: steak, meatloaf, fish, cobb salad, good sides (though occasionally oversalted) and killer rice pudding. Reasonable, decent wines by the glass.
A better (and pricier) steak-house alternative is EJ's (North on Skokie Blvd.), suggested by GWiv. I've had one really good meal there and they have valet parking, which makes the in-and-out a little easier.
If you would like something a bit more adventurous, you could try LaBaraka at the intersection of Dempster, Skokie Blvd, and Gross Point Road. This is a Lebanese place with an odd coffee-shop atmosphere left over from the previous occupants, but the welcome is warm and the food is interesting. We had the meze platter, which was a broad selection of tapas-portioned Middle Eastern greatest hits as well as some rarely seen items like kidneys. I enjoyed it well enough, but would like to try their couscous dishes-- perfect for a cold winter evening if done well.
Unfortunately, I have not had much luck with Don's Fishmarket, so I'll have to humbly differ with GWiv on that. Perhaps I should give it another try, but we had a really disappointing meal there last winter. In our case, our less-than-hoped-for experience could be a matter of the weeknight staff being the B Team, as we usually stick close to home on weeknights and go into the city on the weekends.
Man : I can't understand how a poet like you can eat that stuff.
T. S. Eliot: Ah, but you're not a poet.