Taking the train is easy and an excellent way to see more of Chicago. The above ground L train takes about 30 minutes from Midway to downtown, and gives you a glimpse of different neighborhoods and industry in the Windy City.
From the terminal, follow the signs for ground transportation and then CTA, also known as the L. Once inside the small station, buy a one ride ticket via the vending machine. A ride from Midway to State/Lake was $3.
The State/Lake station requires using a steep staircase. It is right next to the Chicago Theatre and also an underground train station where you can easily transfer to other parts fo the city. I made the 10 minute walk from this station to Emabassy Suites on North State. Walking was safe and another great way to see the city.