I have only been a few times myself, but I always have enjoyed the event.
Places to stay - some people stay at the Hyatt, it's nice. Personally I stay over at the Residence Inn, it's quieter and I like their rooms. My wife likes the IKEA store next door, and going over to the big mall so she has plenty to do also. There are other places nearby, within a half-mile, so with a short walk, one can be right at the show. There are plenty of opportunities for food in the vicinity, both sit down and fast food.
The show is held across two floors and the floor plan can be "bewildering". As mentioned above, grab a map (usually available in the elevator lobby on each floor). These are listed by room number and also by vendor name. Personally I start with certain favorites. The Treefrog Treasures room is always a good place to get a nice welcome and see some of the forum members. George Guerierro from Minutemen always has some neat displays. A "must see" is the King and Country room. The people are friendly, Andy is fascinating, but you HAVE to see the great dioramas made by Gordon Nielsen. This guy is a GENIUS - his abilities as a builder combine with composition to create fantastic scenes. Speaking of scenes, you need to go see the Hudson and Allen room(s). Ken Osen makes the greatest scenic materials and bases! Look up your favorite vendors and manufacturers, but don't forget to wander the rooms looking at all the stuff, new and old.
As mentioned above, take a pen and note pad so you can remember how to get back to some of the places that have stuff you like. Personally, I also make up a "want list" before the show. Otherwise I get so distracted that I forget to find the smaller items until I am back home after the show.
There is the Museum of Science and Industry with the German U-Boat, but if you like 20th Century stuff don't miss the First Division Museum at Cantigny Park in Wheaton, IL, about 30-40min. drive SSW from the toy soldier event. Nice museum plus a good collection of US tanks.
The initial response is feeling overwhelmed, but take your time and enjoy the people and the show experience. Do some room trading, take a rest then go back and do some more. Enjoy the show, it's certainly worth the effort of going!
Gary B.