It's a massive 219-acre park complete with a fitness center, two gymnasiums, an inland beach, and lagoon. Also, the Boathouse Café (OK, not exactly free) = summer done right.
There are five miles of underground tunnels and overhead bridges linking more than 40 Downtown blocks. A nice alternative to, say, sitting in traffic on State St (also free).
This nature sanctuary tucked into Lincoln Park is one of the city's finest treasures, and totally free. The adjacent North Pond restaurant, however, is quite another story.
Free on Tuesdays for Illinois residents. That means you. Unless you just moved here from Ohio and haven't yet updated your license. In which case, you get what you deserve.