Here's Bion J. Arnold's 1914 scheme for through-routing steam road commuter service. It still makes a lot of sense to me:
Hooker, George Ellsworth. Through Routes for Chicago's Steam Railroads. City Club of Chicago, 1914
1. IC to C&NW North Line via a new subway under St. Clair and Ohio
2. Rock Island, NYC, and C&WI to C&NW Northwest Line via a new subway under LaSalle and Ohio
3. Alton, Wabash, and Pennsy to Milwaukee Road lines via Union Station
4. Burlington to C&NW West Line via Union Station
Arnold took a lot of trouble to avoid crossing lines, which today might not be so essential. It might make sense to reconsider his threading, so that the BNSF, for instance, would link to the UP North Line rather than doubling back west. Or, since every line basically goes through a throat near Kinzie/Desplaines, a big transfer station there would allow any possible transfer. Of course, my first move would be to put all the Metra lines on half-hour non-rush headways, so the system could work as regional rail rather than commuter rail.
Though I'd probably put the new subway under Chicago rather than Ohio, I still think that would be a useful and farsighted way for us to spend a billion dollars.
It's not just to make for better transfers to CTA; this through-routing allows regional rail lines to do their own downtown distribution so some CTA trips become unnecessary. Such connections have been created in several German cities, notably Munich, by Paris's new RER tunnels, and in Sydney and Melbourne. The only North American example is Philadelphia's mid-80s project to connect the former Pennsylvania and Reading commuter lines with a tunnel under Market Street.
The through-routing of Chicago streetcars and rapid transit trains was forced by the city, I think. The Union Loop was built as a loop that the various elevated railroads could use by paying so much per car, but in 1911 the four companies consolidated for marketing purposes as Chicago Rapid Transit, though the underlying corporations still existed legally. The same thing was true of the streetcars, where several different companies received the franchises and built the lines, but eventually they called the whole system "Chicago Surface Lines."