Address: Monroe Harbor For a magical evening on Lake Michigan, be sure not to miss this simple, yet haunting event. More than 35 boats sail out onto Lake Michigan in a formal parade of twinkling lights and music. The free parade can be viewed along the lakefront from the Shedd Aquarium at Roosevelt Road up to the Chicago Yacht Club at Monroe Street. Listen for the gorgeous sounds of the Grant Park Symphony before the parade, and watch for the fireworks at the evenings conclusion.