If they are going to see the main sights - the towers, shopping, museums, then they will start with downtown, and work out from there. All Metra trains (as well as CTA) trains go downtown.
Coming from the east, NW Indiana is good option. There is a commuter train that runs to Chicago from the South Bend airport (used to be called the South Short). It also stops in Michigan City and a couple of points near the Indiana Dunes park. In Chicago it stops at 57th St (Science and Industry), near the Field Museum, and on the east side of downtown (at the Metra electric line stations).
Most Metra lines use stations on the west side of the loop, though there is also a station on the south side of the loop.
Metra mapSouth Shore map