I'm not a huge Wizard of Oz fan, but even I found it interesting to see an entire park dedicated to the book/movie. Go here and walk to each of the corners of the park, where there are statues for each of the characters (Lion, Scarecrow, Dorothy, Tin Man, etc). As you visit each statue, there is an option to listen to the background story of the statue (work done by the City of Chicago), which is very cool. Supposedly, the original red slippers from the movie are at this park - try to find them!