Camp Douglas was one of the primary POW camps and it was located within south side. Nothing remains of it but there is a historical marker.
But an awful lot of prisoners died there and you can visit where they were buried. It's called "Confederate mound" and is in Oak Woods Cemetery. It is estimated between four thousand and six thousand southerners are interred there. They were exhumed from their original burial spot when the land was chosen to be a part of the new Lincoln Park and I guess it seemed unseemly to have Confederates buried within it. I don't guess naming the park after R.E. Lee was an option.
If you do go to Oak Woods, there are some other famous folk buried there: Tommy Dorsey the big ban musician, Cap Anson the early baseball star, Enrico Fermi the physicist and many others.