look at the megabus route map: http://us.megabus.com/routemap.aspx

Their rapid expansion across the midwest and east coast makes me think Megabus will likely offer soon a way to get from Chi to NYC. Perhaps the trip would take as long as the greyhound trip, I don't know. But its worth keeping an eye on. They have seemed to add routes about every 3 months or so. Connecting the midwest to the east coast would seem a natural progression.