One of my favorite Chicago things is taking public transit home at the end of the night.
Not only do trains run pretty late (and some are 24 hrs - even buses) but the ride only costs you a penny (or it's free because sober bus drivers don't want to deal with drunk girls trying to find pennies in their drunk purses).
When feasible - its about 100% more awesome than a cab for the continuation-of-the-party atmosphere, the fiscally responsibility of it (starting the new year right!) and because it means that you don't have a drunk Frat guy standing in front of your cab refusing to move until you get out and give it to him.
I even brought some flats in my bag to ensure that this is the first-best bus ride of 2012.