Just to echo what others have said, it's fairly easy to skip the last segment of the return.

Entering the US you will always have to pick up your checked luggage and clear customs. Simply tear off the tags and walk past re-check and out of the airport.

The only limitation is that some airports will require you to re-clear security into the sterile area before you can leave. I've never arrived EWR, being DC based, so I don't know the situation there. But you'll want to check before you arrive with something in your checked luggage that won't pass in a carry on (such as liquids).

You can't skip the first outbound leg, but a one-way ticket on another carrier from NYC to ORD would cost you much less than the 2k you save.