Highway 41 takes you through residential and business areas, then down Lakeshore Drive in the busiest part of downtown Chicago. If you want to see the lake and downtown, it's an interesting route. However, plan on allowing A LOT of time due to heavy traffic all times of the day.
Highway 45 and 83 will take you down the western edge of the suburbs, but still has a lot of stop signs and lights
. After many trips through and around Chicago, I would recommend just taking the interstate toll system and planning on the fees. You would go down 90/94 to 294 all the way to 80. Take 80 east to Indiana.
The time difference is huge. You save money on tolls but spend money on gas while starting and stopping frequently on smaller roads. You can get around Chicago in about 90 minutes on the toll roads. Plan on 3 hours on other roads. Also, some of the lesser roads can be a bit nervewracking pulling a trailer. So if time is no problem, you can take the toll-free roads.
Just my 2cents worth!