UVWay
Babyface
The hotels in downtown Chicago are definitely expensive. However, as someone already said, you can get a hotel for a decent price by O'Hare and train it in and back out. You could also try around Midway airport, but the hotels from what I remember can be a little sketchier down there. Also, I would suggest going to Metra.com, which is the suburban train commuter line, and checking the different lines and schedules. There are plenty of hotels in the suburbs at decent rates, and its is just a matter of coordinating the train schedules.