When Martin gets on the subway train after leaving the dead stranger, passersby kneel down to check the stranger. In the next shot the stranger is alone as the train leaves the station.
Cell phones don't work on Los Angeles subway platforms.
Chicago Union Station only has platforms for Amtrak trains, or for the regional Metra (suburb-bound) above-ground trains. But the platform that the character goes to is an underground subway platform.
The first scene Sean Bean's character alludes to the extremist blowing up a Federal Building in Wichita - I'm guessing the writer was drawing inspiration from the OKC bombing in 1995. The only "federal building in Wichita is the US courthouse - the main building: Frank Carlson Federal Building is in Topeka the state capital Topeka.
When they are driving around at night in Chicago, they drive past the Los Angeles Biltmore Hotel.
During the murder scene on the platform in Chicago Union Station, A Los Angeles subway train arrives at this platform.