So is your ticket to Chicago or Indiana? These days, if you don't show up for all sections of your outgoing flight, airlines will usually cancel all remaining legs, including your return flights. Not sure if it has to do w/security or $$$, but that's how it works regardless. If you just flew to Chicago you might find yourself stranded there with no ticket to get home again...
Indiana is a pretty big place...perhaps you could arrange a little vacation for yourself? Hire a car, go see some of the world. You wouldn't necessarily run into the ex. Guess I'm just a sucker for travel, but if I had airline tickets already paid for I'd try and find a way to make it work.
Do you enjoy camping? Perhaps you could hang out at a national or state park, or several, in the area. Indiana Dunes is quite nice (
www.nps.gov/indu). Or check out budget airlines as someone else has suggested. It's usually pretty cheap to get to Las Vegas, for instance, from just about anywhere. Granted it's not much fun spending that much time on airplanes, but think of it as taking the scenic route...
