The Dunes in and of itself is worth a day or two of exploration, nice beaches, trails, etc.
Article hereJust know that you will need to reserve early, spots fill up early.
I think that The Dunes is nicer than the Kane County- Paul Wolff FP from that aspect, although the ride in from the Dunes might be 20 minutes longer. But I would definitely take the train as opposed to trying to drive.
Citypass is a good deal to get into the attractions at the Museum Campus and the Sky Deck at Willis (Sears) Tower.
Insofar as Chicago being a horrible dangerous place, yes, there are neighborhoods that one should avoid, far south side and west side predominantly, and maybe Uptown further north, but in the area between the Museum campus (basically Soldier Field/ Northerly Island) north to North Avenue beach and west to the expressway is where the OP is talking about going, and you're more likely to encounter panhandlers at the Millenium Station exit, or pickpockets along Michigan avenue, or the roving Twittergangs of teens that have popped up in many cities.