Just to orient you - the "Loop" is the historic central business district, named after the streetcars (now elevated trains) that made a circle around it. Union Station is just west of the Loop, just across the river. The Art Institute, our most famous art museum which contains the previously-recommended Terzo Piano, is on Michigan Avenue on the east side of the Loop, just over half a mile from Union Station. North Michigan Avenue extends north from there and is our upscale hotel/shopping district; the Purple Pig is north of the river about half a mile north of the Art Institute, and Cafe Spiaggia is a half mile further north.
Wherever you go, stop at
Garrett's Popcorn to get some caramel and/or cheese popcorn for the train. They have several locations in the Loop.