Safety and Chicago Rapid Transit..
Women will be safe alone in most parts of Chicago, though they should exercise a degree of caution and awareness of their surroundings. The El (Rapid Transit trains) is safe, even at night, though you might want to seek out more-populated cars or the first car, to be closest to the driver. Or you can take one of the buses that parallel many train lines.
(Source: Chicago, Lonely Planet Guide Book)

Central Chicago is clean and feels safe. The "L" - short for elevated train- is cheap and will take you most places you want to go, although visitors might want to spring for a cab, particularly after dark if they're going into unknown territory. A light-night trek back from a north-end theatre by train proved to be a bit creepy.
(Source: Peggy Curran, "Week-end in Chicago, Montreal Gazette)

If you're arriving by plane, try to arrive mid-morning when the transit rush is over. Take the "L" directly from the airport into town for $1.50 (30 cents more if you require a transfer). I did it with my0suitcase on wheels and it was a breeze. But...always remain alert, practice big city vigilance and watch your handbag!

I stayed in the downtown core. During the day and some evenings, I walked everywhere and felt fine about it. Once it got dark, I took cabs when I needed to venture further afield. Each of the cab drivers I rode with were polite, helpful and chatty. I never ever felt uneasy. But..I also never ever allowed myself to be complaisant. Chicago is a big city!
(Source: Evelyn Hannon, Journeywoman Editor)

Famous Movies with Chicago Connections (Why not have a re-look on video?) Home Alone Ordinary People The Fugitive My Best Friends Wedding North By Northwest While You Were Sleeping