The thing about the Shedd is that it is something you can only do in Chicago. Yes, the mag mile has great shopping, but you can shop anywhere.
The oceanarium at the Shedd is built right on Lake Michigan. While you're watching the show, there are windows in front of you and it looks like the whales are right in the ocean (well, lake, but its so big it looks like the ocean from where you sit). They also have new touch tanks with star fishes and stuff the kids can interact with.
So what I'm trying to say is that the Shedd isn't just any aquarium. If your kids are in to aquariums, and you can afford the admission, it's probably worth doing. If it's a nice day, Navy Pier is very pretty with restaurants, shopping, boat rides ($$), the Chicago Children's Museum, a big ferris wheel and carousel. The Museum of Science and Industry has lots to do, but it's in Hyde Park which is a fair distance (and hefty cab fare) from downtown.
American Girl Place is way cool. My daughter had outgrown her American Girl mania by the time it opened, so I never got to go. They have a play and restaurant. My nieces love it.
Have fun!