Mayne Stage is an excellent venue for live music and entertainments... great food and drink too!. Coincidentally, am headed there tonight to see a live production of Rocky Horror Picture Show at midnight.
Metro Mix is a great resource for Chicago nightlife and entertainment. If you ever want up-to-date information about upcoming events then check them out. Red Eye also offers great insight on entertainment in Chicago.
Chicago is really one of the best live music cities around. There are many live music venues all over the city. One of my favorite is a great place in Wicker Park called Subterranean (http://subt.net). It has very good site lines and acoustics with a diverse music line up. I hope you like it!
Buddy Guy's Legends, Rosas Lounge, BLUES, Kingston Mines, are great for Blues, in Evanston there is a place called Space, for many othe forms of music The Chicago Theatre, Chicago Auditirium Theatre. These days even Wrigley Field and Soldiers FIeld has music events too. I am sure there are many othes too.