M.M.
You could drive up to Lake Geneva, and get lots of golf and lake stuff.
It's about 1.5hrs north of Chicago. Timber Ridge has a great waterpark (it's part of Grand Geneva), which has great golf as well. People usually rent a home up there for a week or weekend. Cute little town area.
You could also do the Indiana Dunes, which is about an hour south of the city. I've never been there, but I hear that it's great for families.