One of my favorite summer activites. Although it's located in Highland Park (a 30 minute metra train right from the city) it is definately worth it. Pack a picnic, a couple bottles of wine and a blanket to sit on and enjoy the evening lying under the stars and listening to music. Performers range from classical to jazz to blues to popular music. Tickets range from free to $15 depending on the act.
Pros: Great ambiance
Cons: Outside of the city