I've taken that trip 3 times. Well, not all the way to Chicago, I get on/off in Omaha or Lincoln Nebraska. But I've done most of that trip.
Amtrak is expensive. That is just the way it is. Pretty much the cost is equivalent to flying. Only do it if (a) you hate flying or (b) want an adventure.
Sleeping cars are not expensive if you like the slow cooked meals on the train. You have several eating options (1) bring your own food, (2) snack bar with some hot instant meals, or (3) slow cooked food in the diner car. The diner car will set you back $10-$20 a meal. So for 3 meals a day, you could be out $50 a day and more if you want wine. With a sleeper, all the meals are free. So basically, the free meals pays for the sleeper if you want to eat all your meals in the diner car. If you share a sleeper with a friend/family then you can even save money that way.
Note: to get the cheaper sleeper price, ask for the sleeper once you board. That is, buy a regular ticket, then ask to upgrade on the train. If a sleeper is empty, they'll gladly take your extra money for a big discount.
I hope for you the track repair in the Colorado mountains are finished. Last time I took that trip (late fall 2005), the track was under repair and we went through Montana instead. Trust me, the train through the Rockys is far more fun than through Montana.
Tips:
[*]Remember to bring your own blanket. The train can be cold sometimes and they charge you $10 for a blanket (plus you can only buy it during the meal hours, so if you need one at bedtime you aren't getting one).
[*]Bring a laptop and an extension cord (plugs are hard to come by) - movies are fun to watch on the train. The train does show some movies, but they can be hit or miss.
[*]Bring cards and play games with others on board to meet new people.
[*]I'm not a drinker (maybe twice a year I'll drink), but my brother brought a flask of Maker's Mark last time and it made the trip all the more interesting.
[*]Set up camp in the observation car as soon as you can. Full glass on both sides and sometimes on top. See all the scenery in 360° rotating chairs. Heck, I often sleep there all night. Much more room to lay down. The only bad part is the old ladies that wake up at 5 am and want to have loud discussions there instead of going to the social room below.
[*]Don't expect to arrive on time. Amtrak is about 50% of the time exactly on time. The other 50% of the time you'll be 6 hours off. Once I was in it and the train hit a truck of some guy who drove into an industrial site at night, parked on the tracks, and was loading the truck with stolen industrial goods. Lets just say the train was stopped for 6 hours.