The Loop is probably what most people think of when they think of downtown Chicago; it encompasses the area between Lake Michigan and the river, and is bounded on the south by Roosevelt. Everything in Chicago is measured in its distance from the Loop. Some of the notable landmarks in the Loop include the Willis Tower (formerly Sears Tower), the Chicago Art Institute, and the Chicago Board of Trade. You'll also find Millennium Park and the theatre district. Some of Chicago's more famous art installations can be found here, from "the Bean" in Millennium Park to "The Four Seasons" by Chagall.
You can find a great map showing the smaller neighborhoods within The Loop here.
It isn't the Magnificent Mile, but State Street boasts plenty of shops, and the Loop is home to Chicago's theatre district. Take in a show at the Ford Center for the Performing Arts (aka the Oriental), or stop by the Cadillac Theatre or the Goodwin. The famous Chicago Theatre is also here. If plays aren't to your taste, you can go to the Civic Opera House and see the Chicago Symphony Orchestra or the Lyric Opera.
There is no shortage of transportation options in the Loop. Every L line except the Yellow intersects in the Loop, and bus stops are plentiful. In addition, the two major train stations (Ogilvie Transportation Center and Union Station) make it easy to get to the suburbs or beyond, via either Metra commuter rail or Amtrak. If you plan to travel by air, you can always take the L to the airport.
The Loop has been at the heart of Chicago's condo glut. During the fall and winter of 2009 things got really ugly. Inventory of 2 - 3 bedroom condos started to grow and jumped to almost a 4 year supply. Since then condo inventory levels came down quite a bit for a short while, running as low as an 8 month supply. However, the train ran off the tracks in October 2010, with contract volume so low (only 10 units) that the inventory level jumped to a 42 month supply. However, it's hard to say what the real inventory level is since developers don't put all their condos on the MLS and many of the condo sales in The Loop are developer sales. In 2011 Loop condo inventory levels have come back to earth, with October actually hitting the best levels in 5 years.
Just like the inventory numbers the market time data for the Loop is also distorted by developer activity. 3 buildings have had a large influence over the market times: the Park Monroe, the Legacy, and Aqua. Some of their listings have been on the MLS for over 1500 days and when they cancel or close a lot of them it has a huge influence on the market times. That explains the huge decline in the last few months.