Even when Chicago was a mere hamlet of 4,000 people, there were already musings being made about establishing a rail connection with the city. To this end, the Galena & Chicago Union Railroad was established in 1836, with the promise of connecting the city with the rich mineral deposits in NW Illinois and SW Wisconsin. Ultimately economic factors stopped this effort dead in its tracks. By 1847, there was another movement taken up to erect the line, led by the William Ogden(who had been the first mayor of Chicago) and a real estate developer. Not only did they see promise in the line, but they also saw dollar signs, since their proposed site for the downtown depot sat on a parcel of land they owned(meaning they were in for a real payday when it was built).
Investors were hard to come by, so they decided to just start laying track and see how much money they could get. This approach worked. A prime example happened on November 20, 1848, when a locomotive made a publicity run out to Oak Park and back. Not only did this generate good press for the line, but a passenger buying wares from a farmer and then bringing them back to the city symbolized the first ever goods to come to Chicago by rail. The line continued to expand to the West, reaching Rockford by 1852(alas, the line never made it to Galena). The next year, a new depot was built downtown North of the River, finally fulfilling Ogden's vision.
A few years after that, a second track was built along the line, which has implications today still. The trains run on the left hand side rather than the right. This is so because originally the outlying depots were directly north of the tracks. When the new track was laid, they were put to the south of the existing tracks, so as not to have to move the depots. Since most inbound commuters board from the depots, and since having commuters cross the tracks to catch their train was undesirable, the inbound trains now run adjacent to the depots, on the left-hand side of the tracks.
In 1864, the railroad merged with several other lines to make the Chicago & North Western Railroad. In 1911, the lines collaborated to build a new station downtown(which we know of today as Ogilvie Transportation Center.) In the 70s, the C & NW became part of the RTA, and was later bought out by Union Pacific in 1995. The line continues to run today out of Ogilvie(along with its two counterparts, the North and Northwest Lines), 177 years since it was chartered.
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