Naturally, Lake Michigan would meet Chicago at sandy, muddy, oft changing beaches, and Chicago's growth was largely dependent on transportation of goods via the lake. The first attempt to tame the changing lakefront included building a pier and dredging small canals to control the flow of water.
In the early 20th century, a great project went underway to protect the shoreline:
In 1910, the construction of the existing shoreline protection structures began. From 1910 to 1931, the shoreline protection structures were built along the lakefront from the north side of the city to the south. The additional land created was developed to have a wide variety of uses (e.g., parkland, beaches, harbors, lagoons, golf courses, etc.). Most of the land along the lake is open to the public. The protection structures generally consisted of limestone blocks, wooden piles, tiebacks, and wakefield sheeting, but in some instances were paved beaches or perched sand beaches. In many areas, the limestone was grouted to help keep them in place.
You can still see these structures all along the lakefront, including steps in Lincoln Park and Lake View, wood pilings , and how effective they can be at keeping the water still.
This document from cityofchicago.org has some excellent images of protection structures in place now, and as they were being developed.