All set for cocktail hour in Chicago

The Hedonist: what to see and where to be seen

Chicago has some stunning shopping (Getty)

We head straight from O'Hare airport and check in to the W City Center (001 312 332 1200; whotels.com) at 172 West Adams Street. It's a Friday evening, and we're ready for the weekend. I'm a sucker for design hotels and those aren't that easy to find in such a big corporate city. But sexy, dimly-lit and with fabulous rooms, this was just the place for me.

Where to go in the Windy City? Sushi Samba (001 312 595 2300; sushisamba.com) at 504 North Wells is the clear choice, as I love sushi and I adore caipirinhas (there's a branch in East London if you prefer something nearer to home). It's been open for a few years now, but is still going strong and reserving in advance – as we had – is recommended. We feasted on the oh-so-decadent combo of ceviche, sushi and sashimi, with a view of seriously good-looking people and a bossa nova soundtrack.

Our night had just begun, so it was time to try the Pump Room at the Public Hotel (001 312 229 6740; publichotels.com) at 1301 North State Parkway, Ian Schrager's delectable boutique retreat. This place knows how to put on a good evening (delicious cocktails are probably the key). We followed the local lead and downed a glass of water with each drink, which enabled us to remain standing as the night wore on. The restaurant turned into a bar after midnight; the clientele remained beautiful throughout.

We couldn't end the night there, though. Oh no. We had to go to one of Chicago's classic jazz bars, and the Green Mill (001 773 878 5552; greenmilljazz.com) at 4802 North Broadway Avenue was just the place. In the 1920s, the club gained infamy as a hangout for mobsters, and it has been featured in several movies, including High Fidelity andThe Untouchables. The intimate atmosphere was the perfect match for the whisky sodas, and the night whisked out from under us.

The next morning, when we eventually got up (not easy), it was slightly chilly and windy, but what better excuse to buy some new clothes? Chicago has some stunning shopping – even naming the main shopping stretch of Michigan Avenue (running from the Chicago River to Oak Street) the Magnificent Mile. So, so true! At Nordstrom (001 312 464 1515; shop.nordstrom.com), I managed to leave with only three new pairs of flats, while Ann Taylor (001 312 587 8301; anntaylor.com) and Club Monaco (001 312 787 8757; clubmonaco.com) were irresistible for just about everything.

Dressing-room fatigue meant a bit of fresh air was needed and we jumped on a river cruise (001 312 922 3432; architecture.org/rivercruise) which, at 90 minutes long, was the perfect antidote. The intimate views from the river offered a great way to see Chicago from a completely different perspective. Even a hedonist needs to take some time off occasionally.

A Hedonist's Guide to... (Hg2) is a luxury city guide series for the more decadent traveller. For more information, see hg2.com