Some of you sound like your impressions of Chicago come from Fox News.
As a long-time resident, I can assure you that Hyde Park, the neighborhood where I live and where the Court is located, is reasonably safe. I mean, *obviously* excercise all the caution you normally would in any urban neighborhood. But Hyde Park is the location of a posh, elite university (the University of Chicago), and the university has a vested interest in maintaining safety here--if only because they want to continue to attract the rich kid population that makes up most of its student body.
Another thing: it is really not *that* difficult to get from Hyde Park from the Loop. You can take the red or green CTA trains and then connect to the 55 bus, which will bring you a half-block away from the theater.
Another option is the metra (a train that's separate from the CTA trains). You can board the Metra Electric line in the Loop and get off at the 55th Street stop in Hyde Park. From there, you can take the 55 bus or even walk (the walk is ~15 minutes). In my experience the metra is more reliable than the CTA trains or buses, not to mention quicker (from Millennium Station in the Loop to the 55th Street stop is a 15-minute ride). The metra is also cheap: fare for the Metra Electric line is 2 bucks (though there are no free transfers to CTA buses and trains).
If you prefer to take an Uber, it's not all that expensive--around 20 bucks from the Loop, unless there's surge pricing.
Honestly, if you want to do Chicago theater right, you need to get out of the Loop. The Loop has the Goodman,the Lookingglass, Chicago Shakespeare, and the touring Broadway shows. But the other theaters worth visiting (and there are many of them) will require trips to other parts of the city.
The Court is a gem--consistently one of the best theater companies in the city, and well worth a visit.