From Chicago's enormous O'Hare airport, getting into the city is a simple enough matter, and there are several buses that operate into the city centre, as well as taxis and train services.
The famous El (elevated) train services the city, and provides some good views of buildings as you move around, although the main areas of interest are fairly close together, so you can walk between many of them, and then get a cab back to your hotel when your shopping gets too heavy to carry.
Renting a car in Chicago is an excellent idea if you want to explore the areas around the city, and take a few trips up the lake in order to relax in one of the national parks for a few days, although a car is of little use in the city centre itself.