One of my favourite trips to date was to Chicago in the winter. I went with a couple girlfriends just for a long weekend. We bundled up and meandered through the city during the day and holed up in our hotel at night, staying warm with wine and way too many pay per view movies. We kept an eye on the Millennium Park Ice Rink for a couple of days, trying to convince one of the members of our group that it would be fun. She eventually agreed, and we had the time of our lives. The rink stays pretty packed, so we asked around about peak times, and elected to go during the day on Monday, our last day there. Perfect, because we hardly had to wait at all for skate rentals, the ice was freshly resurfaced, and there were very few other skaters. We skated for about an hour and a half before deciding to warm up with some hot chocolate from the nearby Park Grill Cafe.
Admission to the rink is free, and skate rentals are only $12/person!