The wedding is black tie, which means tuxedos for men, and floor-length gowns for ladies. The other weekend events (welcome event, brunch) are casual, e.g., jeans and a sweater are fine.
It will probably be cold outside, but the event is 100% indoors so don't worry about it! If you're trying to do outdoor events in Chicago throughout the weekend, just make sure to look up the weather beforehand and bring the appropriate outerwear. For east coasters who have never been to Chicago-- it is really typically not much colder than NY.
We recommend staying at one of the two hotels that we have room blocks at-- either the St. Regis or Radisson. Book through the links in our "accommodations" tab on our site to get the room block pricing. We'll be at the St. Regis!