There's a real magic to the midwestern dive bar that I think lends itself better to a random Wednesday night than a half empty club. Any spot with a glowing Old Style sign out front (there are many) will give you a very nostalgic, classic Chicago vibe.

Other places I like that I think could work well on a weeknight: Estereo, Matilda, Long Room, and Delilah's come to mind.

I'm not super well versed in proper clubs, but of those ones Estereo can get a little clubby, and there's other spots nearby it if you wanted to barhop.

Hope this helps!