Union Station is at 210 S. Canal Street. Here's a description of it:

"The Station
This is Chicago's busiest train station, serving 50,000 Metra commuters from the north, west and southwest suburbs every day. Union Station also receives about 40 Amtrak trains a day, connecting Chicago to more than 500 destinations in the United States and Canada. Construction of Union Station began in 1916 and was completed nine years later. The concourse building was torn down in 1969 and replaced by the office tower that stands there now. The Great Hall was spared, simply because developers had no immediate plans for the land.

The Great Hall
You've probably seen the Great Hall in movies like "The Untouchables" and "My Best Friend's Wedding." With its marble floor, Corinthian columns and bronze floor torches, the hall tends to hush awed visitors, making it a perfect place to escape from the breakneck pace of commuters rushing for their trains."

And Chicago has no "Metro". The commuter rail system is the "Metra."

Also note that there is another Metra terminus at Michigan/Randolph Street, which serves trains coming from the south. It's roughly a mile from Union Station.