My personal fav is Rosebud Prime Steakhouse on Dearborn Street. The atmosphere is a little more high class than I'm used to, but the food is incredible!!! The dining room is very open with high ceilings and velvety red chairs that you sink into. The waiters were very professional and courteous and quickly told us that the Shrimp cocktail was a must have. We ordered it along with the Kobe beef hot dogs. Ya, I know a hot dog at a place like this is just wrong, but hey it was actually really good. Best hot dog I've ever had. I rounded off my meal with the Delmonico Rib Eye, which had just the right amount of fat and was cooked to perfection.
You really can't go wrong with any Steak House in Chicago, but Rosebud Prime is the one that is most memorable for me.