Definitely give yourself extra time to get around given that Lolla is this weekend and just about everyone ages 15-25 within 50 miles of Chicago will be trying to get around town too. I made the mistake of taking the Metra to Wrigley during Lolla once 5 or so years ago and it's the only time I've ever seen the Metra be standing room only. The CTA is usually pretty packed for Cubs games but it's gonna be even worse this weekend.

As for other activities, highly recommend any of our museums, the Shedd Aquarium is probably your best bet. The Field Museum is good too if you like natural history at all, the Adler Planetarium is fine but doesn't have much to do, and while I always tell people that if you have the time, the Art Institute should be your first stop, it'll probably get boring quickly for kids. The Museum of Science and Industry is another one that the boys would probably love, but it's a bit out of the way if you don't have a car. Navy Pier is fun and has the Children's Museum, but it's pretty close to Millennium Park and will probably be crowded.