Agreed something like the Gallerie in Milano would be an idea and would definitely help during the winter months. I would imagine a lot if not most of the workers in the CBD would use it to go for walks during breaks or lunch, grab a coffee, shop, have lunch on a patio during a cold Feb day etc... It would help gravitate most of the downtown traffic to Sparks as THE place to go. Now, Sparks is as cold, slushy or unattractive as Slater or Queen, so everyone is just spread out.
Unfortunately, given the different building heights and such I would imagine such project would cost a lot of money