Here's a different option: If they live in a house and you are staying overnight in their house, I suggest that you do drive into Chicago and park at their house. They can instruct you on the best way to get to places of interest using public transportation, since they live there.
If they live in an apartment and/or you won't be sleeping at their house, then I agree with others that NW Indiana's Dunes State Park, Jelleystone CG, or other places about 30-50 miles from Chicago and along the South Shore Commuter train are your best bets.