I ended up doing what you were talking about in December 2006... when I wanted to check out the new diner/lounge they were testing out on the Capitol Limited.
I drove from Chicago out to South Bend to catch the westbound Capitol Limited (to eat breakfast on it and ride into CHI).
I parked my car at the South Bend Amtrak station and took the Capitol into Chicago... then walked to the South Shore station at Millenium Park... then the South Shore back to South Bend.
I had to get back to the Amtrak station to get my car... so I ended up just getting a taxi. It was like only $6.
There might be buses and all that, but hey, $6 for a cab isn't bad.