Correct, it was shot in Chicago. I understand it took about five days to do, and was actually shot from moving el trains. Looks like a combination of Brown, Green, Pink and maybe Red line trains, so there's no real continuity to the spot. Note that the Sears Tower shows up early on (such a shot would have to be on a Pink Liner, between Ashland/Lake and Polk), then were back up crossing the river near the Merchandise Mart. Rather reminds me of the original opening of <span style="font-style: italic">The Bob Newhart Show</span>, which shows Bob getting crossing the river twice going in opposite directions then getting off at a stop near Evanston before walking back to his apartment building in Edgewater.
Another interesting thing-the station signs say the word being sung ("together" and "now") instead of the actual station names.
-Wm.