After tons of research for our first trip to Chicago we chose The James. Great little hotel.
My last time to Chicago I did a priceline name your price. We got the Palmer House Hilton for $120 a night, $200+ if you had booked it straight up online. I'd highly recommend doing priceline or hotwire. The Hilton was okay, a room to sleep in. It's the hotel in Harrison Ford's The Fugitive so that was kind of cool. And Obama stays there when he visits Chicago.
I have heard the James comes up on priceline/hotwire often.
I've also heard great things about the Hard Rock. We'd like to stay in a tower room there, such a gorgeous building.
Stayed at the Palomar, Hotel Sax and the Affinia. All 3 are centrally located close to all the sights, Magnificent Mile and transit. Palomar was probably my favourite though Hotel Sax was pretty funky. My GF had previously stayed at the James and said it was amazing.