If you take the train, I recommend the Lake Shore Limited to Chicago and the City of New Orleans down. It's a slightly longer, slightly more expensive route...but it's nicer and has checked baggage the whole way. (Also, your layover in Chicago is long enough that you can walk down to the Art Institute and see some things or meet some friends in the area!) If you must go the cheaper and more terrible route, take a regional train to NYC and catch the Crescent. I do not in any way recommend this route, especially for a first-time or newish train rider. (I'm sure you already know all of this, but it is my duty to dispense this information.)

Over Christmas, would you like to meet my Sid? Because she'll be here and in jolly (read: really f'ing cynical) spirits because of the hotel holidays.