On a budget, weigh it — Milwaukee (day-trip) isn't cheap for what it is.
Train ~$25 r/t + admissions
An easy train ride delivers a relaxed, walkable city with Calatrava's spectacular wing-flapping Art Museum, historic breweries, and a pleasant lakefront — a genuine change of pace. The honest catch is that it's a low-key place; it's a worthwhile day if you've already done Chicago's headline sights, not a substitute for them.