Layers. Wear thin clothes under a sweater and sweatpants with a coat and regular pants over top. You need the top layer to cut the wind. You need a hat, one that covers your ears, and if you have any cloth masks leftover they go a long way to keeping your lower face warm.

Waterproof beats warm for footwear, but ideally both. Good hiking boots work well if you already have some.

All train stations and some bus stops have heat lamps you can turn on, look for the big button.

For fun things? There's music and food and museums all over. Usually I recommend the architecture tour, but maybe not in February.

Pretty standard stuff imo, keep your extremities covered; gloves, hat, waterproof boots, and a nice jacket. You'll be fine imo. If you're driving and there's snow on the ground, just take it nice and slow. Accelerate slower than you normally would. Start breaking earlier than you normally would. And plan for travel to take longer when it's snowing.

I see lots of layering recommendations, good. I might add to get yourself a couple packs of hand warmers. The kinds that warm up when exposed to air. You can open one and put it nearer an inner pocket amidst your layers of cloths. It can keep your whole body warm. Good for when the jarring cold is even more jarring than you'd planned for ;-)

Shedd Aquarium is right downtown on the lake front and lots of fun. Less than a block away is the Field Museum which you can easily spend a day wandering through. Near both is the Adler Planetarium if you look for that sort of thing.

Just south of the bean (cloudgate :-p ) is the Chicago Art Institute which is way larger than it looks (to me). Regardless of what artist is showing, the institute has large displays of art ancient to modern.

There are also a few musicals playing. Hamilton is scheduled to end in Dec. but it might be extended. I'll help you out and go see it to increase their audience counts ;-)

Since it's February and you may want to check out the underground, look into the pedway https://en.wikipedia.org/wiki/Chicago_Pedway Maybe not for the faint of heart? You can walk from city hall to the train station under Randolph & Michigan on the corner of the bean. Fair warning though, the Chicago underground is far more massive than these maps show. Look up the Chicago Pedway sign. When you see it, you'll always see it ;-) Keep to the busy areas and times as it will be much harder to get lost. To give you an idea, the land under Millennium Park is a multi-level parking garage with various walking tunnels, train tunnels and a theater (yes, on Randolph :-p Lobby level is technically in the underground though). That's not to mention the underground streets.

I used to work in the Prudential building which is part of the pedway. Can you tell I miss being down there? ;-)

Oh, it's not that bad. Sure, we have some shitty cold days (or weeks) here and there, but it's not like you're going to the beach in Feb. I assume you are going to the Rosemont Horizon for your show? If so, that's not in Chicago proper, which is where most of the action is. My experience in big cities is that you never really get to see the good stuff unless you know ppl there. You just get pulled into the tourist traps. If you leave some more deets on your stay, maybe I could rec some cool things to do. Obviously, you don't have to get too personal, but are you satying in the city? What kinds of things do you like doing? Restaurants? Bars? Museums?

Get yourself a jacket that the wind won't cut through.

@thom dress warm. lol. as a Chicagoan, I don't spend much time downtown (it's turned into a cesspool of crime). get out of the downtown area -- early and often. Bucktown, Wicker Park, Logan Square, etc.