I love this photo from the early 1940s during construction of the State Street subway because it really looks pretty much as it does now, albeit without the walls and flooring.
In this early 1940s photo, we appear to be looking south from what is now the Lake station. By this time, the subway tubes have been bored, concrete poured and sewers installed. Lights, platform elements, tracks, signals and more still need to be installed before trains can run through the subway.
The State Street Subway (part of today's CTA Red Line) opened in 1943.