Don't live in Chicago, but I saw Devo at the Riviera Sept 24(sold out, tickets $38 originally/$300 day of show)...Lincoln Park offers a great view of the skyline and the lake...
I've been to Gurnee. Six Flags was my only excuse for making the trip though. Any of you know where Joliet is (you know, the city with the prison made famous by the Blues Brothers)? Yeah, I live there (unfortunately).