You are gonna simply have to cough up the cash. My suggestion is this, join all the various hotel group's points programs. Hilton has a prepay option that is better than the rack rate. As well, you can get the various hotel groups credit cards and earn points on all your purchase so that you can get reduced rates. Also there is hotwire and priceline, but if there is something major going on in the city, there will be little to no discount offered on those sites. Finally, you could stay near O'Hare where rates would be cheaper and take either public transportation(it really is safe) or a cab downtown. Public transportation from O'Hare can drop you in front of the Chicago Theater. From O'Hare, I guestimate you can get there in about 45 minutes.

Yeah what seeker said.  You should find something nice at a discounted price.  I use hotwire sometimes.