From WBEZ's Chicago History blog:
Chicago had actually started building two subways, with another tunnel following Milwaukee-Lake-Dearborn. Then the war came, and construction materials became scarce. The second subway would not be completed until 1951.
But on this glorious Saturday morning--October 16, 1943--the city was ready for a party.
Starting at 9:15, ten special trains were dispatched from ten different outer terminals along the "L" system. They carried various dignitaries to a rendevouz in the subway at State and Madison. When the lead train passed through the first underground station at North-Clybourn, it was saluted by the Lake View High School band, blasting out "El Capitan" from the platform.
One by one, the ten specials converged at State and Madison. The dignitaries got out, shook hands all around, and made a few speeches. At 10:47 Mayor Edward J. Kelly cut a ribbon strung across the northbound track. As the newsreel cameras whirled, the trains rumbled down the tracks. "This is the most significant event in Chicago history to date," the mayor declared.
They've even got a video from the 1940s showing how Chicago dug the subways.