That would be Anish Kapoor's Cloud Gate
, located in Millenium Park. Very funky piece of outdoor sculpture (sometimes referred to as the "Bean", since it looks a lot like a giant silver jelly bean).
One of the reasons DH and I went to Chicago is because of all the amazing art and architecture. The Art Institute has an insanely huge collection of great works, and I highly recommend anyone going to Chicago take an architecture boat tour up the river.