We like to do the zoo lights and lights at the botanic gardens if we can. We'll probably try to do some sledding. We like to go and see all the Christmas trees at the museum of Science and Industry. You could go see the Macy's windows downtown. Or go on a little horse drawn carriage ride. Hmmmm...I wish I had more things to recommend- we've just moved back here and I only had one Christmas in the area before we moved away.
The musuem of Science/Industry has the Xmas around the world. On Dec 24th, its free. DH and I have been going since we were dating but now we bring our 2 girls. Then we tour the musuem and lunch in Chinatown.