Chicago is one of my favorite cities in the US .. the cold weather could be a refreshing change from Dubai, but as concord said be prepared for cold weather and it doesn't get its name the "windy city" out of nowhere.
There are many things to do in chi-town .. amazing nightlife, great restaurants, excellent museums, and lots of shopping !!
Here are some thing to check out while there
Sears Tower
Navy Pier
Chicago style pizza (many places have that)
Michigan Ave (shopping)
Lake shore drive (cruising)
Museum of Science and Industry
so many clubs, bars, lounges, etc .. dont know where to start.
I love chicago so i am biased