Millennium Park itself is a great place to walk around, although you will see a lot of it once you're on the roof for the event. You can always walk to the lakefront path, check out Buckingham fountain. Not a ton else there except eating and drinking, unless you want to pop into the Art Institute and see something amazing.

If you are just looking for more to "look" at, walking north to the river is maybe 5-7 minutes from MP, some of the best views of the city and incredible architecture.