I have no experience flying in but we loved staying in the Millennium Park area, close to all the landmarks and also the magnificent mile, we stayed at The Gwen which is right on Michigan Ave, we liked it a lot. If you are looking for a deal check Priceline, you usually can get a pretty good deal and can figure out the hotel beforehand if you do a little research. All you have to do is jump on the red line to get to the Sox park which has multiple stops in the downtown area