Although it is not possible to visit the Midway Gardens since the building was demolished in 1929, theMetropolitan Museum in New York has one of the "sprite" sculptures by Alfonso Ianelli (see Storrer) on display. The building was intended to provide a haven from the city and had facilities for hosting both summer and winter parties. The Masterworks book has a nice two page write-up on it and it is referred to in Frank Lloyd Wright's Autobiography.
From a casual look at the drawings, Midway Gardens bears some resemblance to the Imperial Hotel, which was built not long after it in 1915.
There is a reproduction of this sprite available from the Frank Lloyd Wright Preservation Trust.