Chicago has a lot to offer in the way of entertainment, but it can get expensive. One way to buy tickets at reduced prices is through GoldStar Events (http://www.goldstar.com/). Anyone can create an account, select a city, and start browsing for current and upcoming events. A lot of events listed on GoldStar are small venues with tickets that are reasonably priced to begin with, but if purchased through GoldStar, the prices are often up to half off.
If you are addicted to plays, you can find a lot of off-the-beaten-path plays for as little as $10. Are you interested in a play at the Shakespeare Theater at Navy Pier? Do you want to find a new or unusual event, but don't want to spend a lot of money? Occasionally, a larger event will be listed, such as Cirque Shanghai or the Billy Joel/Elton John concert at Wrigley, but they are the rarity, not the norm. Other times there are even spa days at half-price (a little too pricey for me, but if you are going to some of these salons anyway, don't pay full price!). If you are diligent, you can find a lot of really good events at reasonable prices.
Just so you know what to expect, purchase the tickets online and they will be available for pickup at the box office. There is a transaction fee, but it isn't as exorbitant as some ticket sellers (do I need to say who?). In addition, they do send email at least once a week, so if you create an account, it will add some email to your account.
Finally, keep in mind that GoldStar offers tickets for events in other cities too. If you aren't too picky about what you want to see, you can buy tickets for an event before you even leave Chicago.
Moon Palace Cancun: Is all-inclusive my best option?