Technically, the CTA subway is private property, and CTA policy is not friendly to photography on their property.
Originally Posted by Hatchetman
Metra actually issued a memo about photography on their platforms, which they consider to be public, just asking that you not block traffic and even suggesting some good stations for trainspotting. I don't know their policy about photography inside their trains, which are presumably private property.
Otherwise, I have never been hassled by a Chicago police officer when photographing on a public way (e.g., city sidewalk), but private security guards think they can stop me from photographing their building from public property. They don't notice that I wouldn't photograph their building from 6 feet away (i.e., on their side of the street or river).