The Uptown neighborhood, south of the Walker Art Center on either Lyndale or Hennepin, provides a lot of interesting little shops and eateries as well - always good for a walk or something. I don't know how the weather is right now, but by the time you're there in May it should have cleared up. Take a walk around the Lake of the Isles (in the Uptown area), it's the prettiest of the South Minneapolis lake parks.
The Minneapolis Institute of Arts is nice too, though I think they're undergoing major renovations right now.
If you like Thai food, try King and I Thai, which is downtown off Loring Park. A little spendy, but worth it, and their Manhattans will knock you down. Their beef massaman curry absolutely kills!