My experience was in Chicago. The train system is pretty good, but it still closes at the end of the night. The concert was at wrigley and I booked it straight to the Metra station afterwards, still missed it.
Yeah the Metra is a commuter rail - it runs to and from the city and suburbs. It doesn't run all night long - few, if any, commuter rail lines would waste enormous amounts of cash to run that way.
The suburbs are shit. If you want reliable transportation day and night, you need population density to support it. Ergo - you need to live in an actual city - not suburban sprawl.