Just to be clear...Metra is the suburban rail system with which (generally)commuters come down in the AM/leave in the PM. No particular concerns about security during rush hours or most of the rest of the day. Some lines are electrified and sometimes have problems with ice (not the one you're on, so no worries about weather)

The el (CTA) is the subway/underground which circumscribes the Loop and goes through and stops at some dodgy areas...nothing other than standard big-city stuff, however.

One piece of trivia...the Northwestern is the only rail line in the country that operates backwards...instead of "operating to the right" (like we drive here) it "operates to the left" (like the OP drives )