Preschoolers are the prime age for the Chicago Children's Museum. Almost any room is perfect, the only exceptions are the Tinkering Lab, Climbing Schooner, and parts of Skyline that are not be as good for younger preschoolers.
The Pritzker Playspace allows preschoolers but is aimed at younger kids, so I'd skip it unless you also have a toddler or baby with you.
My favorite rooms for preschoolers are Water Ways (bring an extra change of clothes), Kids Town, Treehouse Trails, and Dinosaur Expedition. All four of those rooms have a single entrance/exit, so you can give kids more space as they become more independent. Play It Safe (the firetruck) is also a great choice. And don't forget to check out the rotating temporary exhibits, which are usually oustanding.
Older preschoolers might be big enough for the Climbing Schooner: many 4-year-olds will be ready to try it out.
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