I stayed at Four Seasons several years ago. Very nice hotel. Connected to 900 North Michigan Shops (Bloomingdale's is main anchor store). Good Sunday brunch too, but expensive. They provided ear plugs at night for noise from wind, and had milk and cookies with a teddy bear for my kids. Nice touches. Speaking of noise keep in mind that Northwestern Memorial Hospital is several blocks away, so you will hear ambulance sirens.
There are lots of very good restaurants in the area with lots of choices, within walking distance and with cabs. Suggest checking out reviews on Tripadvisor and yelp; there're pretty accurate. For something eclectic and fun with reasonably prices, I have read good things about Girl & the Goat and Purple Pig, both located in that area (have not been there).
Things to do - walk down Michigan Ave because it will be lighted for holiday season and see the stores, Millennium Park and the Bean, great museums if like them (Art, Field, Adler Planetarium, Science and Industry), Lincoln Park Zoo is free and will be lighted up I believe Sunday following Thanksgiving, Navy Pier (typically for younger kids since Children museum is located there).
I don't know when you are going during Thanksgiving, but keep in mind that a large annual medical convention at McCormick starts the weekend after Thanksgiving. Make dinner reservations early if you are there at that time.
Weather is cold and windy, especially if you are not accustomed to it and are out walking. Chicagoans are typically in down and wool coats. You are in prime shopping location, easy to buy warmer clothes if needed.
Have a great trip.