The GCM is across the street from the “Farm in the Zoo” exhibit at Lincoln Park Zoo. It’s outside from May through October (there’s an inside market in the winter, but it’s not quite as good shooting) on Wednesday and Saturday mornings. The GCM and LPZ can make for a really long, but really great day of shooting. Bring a fully-charged battery and lots of memory. Throw in the Lincoln Park Conservatory and you'll have more pictures than you'll possibly know what to do with in one day.
Okay, this has nothing to do with photography, but the crepe stand is awesome. The fillings change with the season and everything I’ve tried has been amazing. Also, there’s a stand making hot donut holes on the south edge of the market – to die for. (At least they were on the south edge in 2009. I’m not sure if they’ll be in the same spot this year.) [ETA: They are. ;)]
The flowers can make for great shooting, but they do attract Very Large bees. Which can also make for great shooting, but I know a kid who got a bad sting, so watch out. Also, if it’s been raining, wear rainboots or other shoes that handle mud well. They throw down hay after a rain, but the grounds stay pretty soggy.