You can drink on all of the Metra (commuter rail) in and out of Chicago, I see it every day.
Now SOMETIMES (Taste of Chicago, 4th of July, other big events) they will ban alcohol, but as a general rule of thumb they allow it.
They sell these big 20oz beers right outside the departure areas in Union Station).
Edit: Oh you were asking about Amtrak - I don't know, I did find this on their site though:
"More Amtrak Travel Information
Alcohol
Passengers are not permitted to consume their private stock of alcoholic beverages in a public area. Only sleeping car accomodations for which a passenger has a valid ticket are considered non-public areas. "
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http://www.youtube.com/watch?v=BRdHJAX4S_w
^^ Bloody Blackberry (original song/video)
http://www.youtube.com/watch?v=q7khBUbMHVQ
^^^ "She Used to be a MILF, Now She's a Zombie" (my best original Youtube vid. Song was fun to make)