I've flown out of MDW on CO once -- about two months ago. It certainly was easier than dealing with ORD, and CO's gates are very quick and easy to get to from security. It did require a connection at CLE but it was more miles, and since my other half was flying FL out of MDW about the same time, it was a lot more convenient for us to go to the same airport.

As a bit of trivia, CO did serve MDW with mainline aircraft from IAH about 10 years ago.