One of the best days I ever had was I snuck out of a conference in Chicago, rented a bike and rode Lake Shore Drive as far as I could, from Navy Pier on up (I made it close to the Bahai temple before I had to turn back in time for dinner.
Good deal.
There is a nice bike path along the train tracks we take on summer nights from Highland Park to Forest Lake. The vista at the park at Forth Sheridan is a great stopping point.