Thank you all for your helpful replies.
Been away and only just got a chance to see your posts.
Will be in Chicago tomorrow, and going by your recommendations I'm leaning towards taking the train.

as to the questions a couple of you brought up:
I am a male.
I'm arriving mid day.
Staying at the Conrad.

On the El, do you buy your ticket from a machine or ticket office? if its from a machine is it easy to understand what type of ticket to buy?

Feel a bit stupid asking these questions, being a regular traveler except I have found sometimes this tickets machines to be a little confusing....

Thanks guys.