Hope you got those Pilgrims and turkeys out of your system because the German style christmas market / Weihnachtsmarkt / Christkindlmark(e)t just opened (actually Wednesday night) in Daley Plaza. So if you are riding your Fahrrad on Critical Mass this Friday (today? the 25th) be sure to bring cash and time for a sausage or some sugar glazed almonds and a mulled Glühwein / nonalcoholic Kinderpunsch or hot chocolate. They'll be open until 9 pm Fri and Sat, other days til 8. (For authenticity try to set up your bike to fulfill the German StVZO traffic regulations)
This year there are not only regular Bratwurst and the Nürnberger version that's thinner (and odd chewy rolls, but you can't have everything), but also a major North vs South German conflict with Weißwurst (south) for sale just next to Currywurst (north). Weißwurst is white sausage cooked in hot lemon water (that you don't drink), served with a pretzel and sweet Bavarian mustard and a wheat beer, best as breakfast. You suck the filling out (zuzeln) and throw away the skin, at least in Munich (video explanation in German here). Above the Weißwurst equator, the Prussians prefer Currywurst. Currywurst is a hot-dog-like Bockwurst cut up and drowned with ketchup and curry powder, with fries, eaten with a disposable fork while standing in front of a little shack. ("on my shirt, on my jacket, what kind of crud is this? All full of Currywurst." - Herbert Grönemeyer 1982). Both are perfect meals for your bike riding kid - bring some paper towels.
Beer and wine is for sale in several spots, good but unfortunately not cheap. There are a few vegetarian things to try like potato pancakes and possibly some of the soups and stews, but ask. I found ham in my supposedly vegetarian potato puff thing in Germany once and the lady looked at it and said "Meat? That's not meat! That's ham!"
There is also plenty of kitsch here, including wooden puppets and tree trimmings and, and, and...
One highlight for kids is the lantern festival (usually on Martinmas, Nov. 11, but in Chicago at 4 pm on Dec. 9), where kids WHO HAVE SIGNED UP AHEAD (this is the info link) (this is the email link) wander through the plaza with lanterns and sing songs. Make your own lantern -- a candle in a decorated jar hanging from a stick on a wire is basic, a papier mache animal is better -- or you can buy a premade beautiful reusable, battery powered German one when you sign up for the festival. They'll have it waiting for you the night of the walk at a booth near the north edge of the market. About half the kids know how to sing the usual songs. "Usual" for Germany - we make do with the little paper they hand out for people who don't know them. There are only a few religious references in the songs, like Xmas itself. It's fun and the participants each get a huge bag of great chocolate to take home. Last year our kids were still eating it a month later.
You can lock your bike across the street at a loop rack (look out for removable "sucker poles") easier than on the plaza itself. Daley Plaza is easy to find, just east of the City Hall on Washington between Clark and Dearborn, our routes to the Loop here. Bathrooms are portable ones on the west side of the plaza, and there is a great log cabin looking shed to warm up in on the north side if you can find a seat. We like going in the middle of the week when it's not so crazy. It goes from now until Xmas Eve (closes at 4 then). Look at the giant events website for lots more info.
Every little neighborhood in Germany has a little local version of this, with the neighborhood potters and glassblowers and knitters selling their entire year's production in a month and everyone meeting after work for a mug of hot mulled wine. We think they should have a month long one in a neighborhood like Logan Square, with local crafts for sale - they'd make a bundle, and we'd come! (especially to the Kozie Prery booth).
Edit: there will be something kind of similar Dec 3 and 4 at Pulaski Fieldhouse: the renegade craft fair holiday edition.