I went to the fair myself on Sunday, and weighed both Amtrak and Megabus before deciding to remain Part of the Problem and drive. It still ended up cheaper transport than either*, plus there was the bonus of stops along the way for things that are hard to come by in IL: New Glarus beer, 5-yr cheddar, and gas under $4. We found street parking in the neighborhood south of the grounds, though I don't mind giving a family $5-10 now and then to park on their lawn.
@Cascadia - While the MN fair is a bigger deal than Wisconsin's, the WI state fair is a good warmup to the Great Minnesota Get-Together and has a few advantages. It's more manageable, less packed, has more llamas (!), and while the ensticked-food innovations aren't as cool, the fried cheese curds aren't a 20-minute wait.
(*note: hybrid car, 2 adults. YMMV...literally.)