In Chicago? I rode the Metra for a couple of years (it's the reason I got a folding bike)... and as long as you're not in the thick of rush hour, you should be allowed on the train as long as you fold the bike. Same for the L.

All bets are off during rush hour though. You'll need to bag it or hope the conductor doesn't see you. Lucky for me I was rarely on the trains during the worst part of rush hour so it wasn't much of an issue. Yay for reverse commutes.