I'll second the recommendation as to the Museum of Science & Industry, both for the large HO layout and the prototype railroad displays, including the NYC's record-breaking steam locomotive, the #999. I also recommend the Chicago History Museum, which has the Galena & Chicago Union's "Pioneer" locomotive and an historic L car amongst its displays.
As stated, the Hancock Building usually has a large garden railroad during the Holidays..
Be aware that the Illinois Railway Museum is closed until April, except for their holiday train event, a couple of weekends in December. The museum is located about 70 miles from downtown Chicago.
Have a good time!