The Pedway is one of the best open secrets here in Chicago, especially during heavy blizzard conditions and generally escaping the elements. Used to walk it daily when I worked downtown.
I didn't even know what it was when I worked in River North. I just knew I could duck into one of the buildings along the way and get into a heated tunnel that took me part way to Ogilvy. Now, I wish I had explored it more when I lived in Chicago.