Chicago
Theatre: http://www.theatreinchicago.com/index.php
Chicago is practically overloaded with theatres, ranging from tiny hole-in-the-wall play houses that hold maybe 25 people tops, to nationally acclaimed larger houses such as the Goodman Theatre, the Steppenwolf. I find that while this particular website may not cover every single tiny theatre, it does an excellent job of hitting the a full spread.
If you're into history, check out the Victory Gardens Theater, aka the Biograph. Not only is it one of the few remaining examples of early movie theater design (now performs plays), Dillinger was gunned down here.
Chicago is among the cities experiencing a Burlesque/sensual arts revival, and a bit of searching will often turn up a performance or two nearly every week. Our performers range from internationally exhibited Michelle L'Amour, to hobby (not this one 
burlesque dancers. We even have an all male troupe known as the Stage Door Johnnies. (I was more amused when they referred to themselves as the Back Door Johnnies, but what can you do?) http://www.thestagedoorjohnnies.com/Home.html
Unfortunately, there does not seem to be a very good online resource that showcases a calendar of all the burlesque acts in Chicago for easy viewing, so it does take a bit of searching in order to uncover the available acts on any given night.
The CSO and Lyric Opera have already been mentioned, though I will add that I believe this is the last season for longstanding Director William Mason at the Lyric Opera, if you'd like to get one in before he retires.
A last mention for a small, primarily stringed group known as the New Millennium Orchestra. http://nmorchestra.org/ This small crew is extremely talented, and selects pieces that are quite a bit different from the standard mainstream pieces found with larger orchestras. The creator of the NMO is a bit (a lot) lazy when it comes to updating the website calender, and as such it's usually a good idea to send along an email and inquire directly about upcoming shows.