The Museum of Science and Industry, the Shedd Aquarium, and the Adler Planetarium all close pretty early, sometimes. I wouldn't bet on them being open.
Navy Pier is open, and can be a lot of fun (with the right amount of money, of course).
My big suggestion, especially with those who are not familiar with the city - find someplace specific, a restaurant like Ed Debevic's (kids love it), Rock N' Roll McDonalds, or the Rainforest Cafe. (I would suggest the Hard Rock Cafe, but it is ALWAYS packed. Don't plan on getting room for thirty on short notice... or even on long notice.)
Whatever you end up doing, don't just wander around the city and hope to find something to do. It's really easy to get lost, but with some planning, you'll be fine and have a great time.
Or, from what I hear, the entire Purdue team is staying at Chris Noble's house... maybe there's a party over there. I call the couch!
(Oh man, I'm so dead now...)