For wine, Binny's is the regional super alcohol store (altough in Illinois you can buy alcohol of any kind just about anywhere). There's one a block north of Roosevelt at 1132 S. Jefferson Street, but that's a ways west of you. I vaguely recall some tasting room type stores right around the Roosevelt station, but don't have a solid memory of names or exact location.
I'm not terribly familiar with restaurants in South Loop, but if you walk south on Michigan Ave from Roosevelt there are a number of new places that have good word of mouth. I've eaten at a Japanese/Thai place, but don't recall the name, and the upscale Irish Pub, Grace O'Malley's, is pretty good a bit further south.
Head north and there are a lot of places. If you like Tex-Mex or Mexican food, the Rick Bayless restaurants Frontera Grill and Topolobambo are very popular and very good (I highly recommend trying the Mezcal margarita, if you're into a smokey taste), around 450 N. Clark. You MUST have reservations for either of these two.
For Japanese, I would recommend Japonais on Chicago ave at the river, they serve a great mai tai, and have an excellent sushi selection. You generally shouldn't need a reservation unless late evening or Friday/Saturday night.
There are a couple of terrific bistros basically across the street from each on State Street. Bijan's is around 630 north, and is one of my favorite places. It's best described as an American bistrou, but the selection is excellent, it has terrific atmosphere, and has had a following of various celebreties in a couple of different incarnations (it closed and moved about 6 ears ago).
A little south of Bijan's is Quartino, which is more Itallian (in a Florence/Tuscany way, not a Maggiano's way). The selection is more seafood heavy, but a good place. The whole strip of state here is full of good places, but if you go too far north you end up in the "Viagra Traingle" (where state and rush come together at an angle, forming the top of the triangle), so-named for all the young women hanging out at the clubs being harassed by significantly older men.
Hubbard Street is a hotbed of great little restaurants. Kevin is one of my favorites, with a menu that changes daily. I haven't been in a long time, so I don't know if reservation are required. Nearby is Andy's Jazz Club if you're into musical accompanyment with a solid Chicago burger. Their signature alcoholic drink, the Blue Note, is tasty and you get to keep the glass. There's a Ben Pao there, along with great Thai and Med-style places I can't remember the names of.
West Randolph has become a great stretch, too. There's a wide variety of different places there, including a Starfish Sushi (also located in Atlanta), Alhambra, and a host of others whose names escape me. At the west end of that strip is the Tasting Room, principally a wine bar, but with decent food.
Speaking of wine bars, Bin 36 next to the House of Blues is a good place, with a huge selection of wines and cheeses.
If you wanted to go a little out of your way for a terrific place, Maza, a Lebanese joint around 2750 North Lincoln, is amazing. It's a hike from where you're at, but only about 3-4 blocks off the Diversy station (which puts it near my house). I can't say enough about it.
Greek is easy - drive into Greektown and head to the Greek Islands, Pegasus or Parthenon, all basically across the street from each other. I typically go to the Greek Islands, but my Greek friends assure me Pegasus (or was it Parthenon? The one directly across the street from Greek Islands) is better.
On the Tapas side, 1492 is really good place in the near North, close to the Mag Mile.
Rhapsody is attached to the Symphony center on the south side of the Loop, and offers excellent prixe fixe meals that vary from night to night (they also have an ordinary menu). They're more of a southern-style American bistrou.
While you're in town, there are two low-key places you should try. One is Portillo's, a regional hot dog chain, but it's the itallian beef you should try, together with a shake. The other is the Billy Goat Tavern of Cub's curse and Saturday Night Live fame, particularly the location underneath Michigan avenue just north of the River, the exterior of which was used to film the exterior of the Mob restaurant in Batman Begins.
So, there's a few thoughts that should give you some ideas.