It's at Allstate Arena (formerly Rosemont Horizon)
Are you looking to be on the cheap or close by? There is a Holiday Inn within walking distance (not a short walk, mind you) about a mile south of the venue. It's in Rosemont, IL. I used to work in the offices right next to it.
There's a good, but pricey, resturant next to the Hotel called Harry Carray's.
You'll probably find cheaper lodging in Des Plaines, IL, and it would be a short cab ride to the venue.
The first 7 on the list are all within walking distance to the show if you didn't want to drive there. The cost of parking is already included in your ticket so you wouldn't need to pay to park if you decided to drive. I recommend staying at the Holiday Inn if you're planning on walking since you wont need to cross Harlem but any of these should be fine.
The Drake would be about 30 miles from the venue. Its a nice old Hotel on the lakefront Downtown. Around the venue I would just use Google Maps and see whats around there. You flying into O'Hare, how many days are you staying?