Milk Room

The first thing you should know about this exclusive micro-bar tucked inside the Chicago Athletic Association is that you need a reservation—mostly because there are only eight seats available. Choose from a one- or two-hour experience at the bar, where you'll browse a menu of vintage spirits and rare whiskeys, like 1970s Fernet Branca and 1940s Cointreau. Of course, for a taste of the past, you'll pay a pretty penny—the drinks here start around $28 and only go up from there. There's a small food menu with luxe bites (think caviar and foie gras terrine), but the better move is to make a post-tipple reservation at the hotel's Cherry Circle Room so that you don't have to stumble far to pad your belly after all that booze.