The EXACT same thing happened to me when traveling from the suburbs to Chicago. A complete sense of disorientation when emerging from the train station. I had a map, but even at the first intersection I wasn't sure which was was which (the map didn't make it clear where the station exits were), so I had to walk another block until I got a second "point" on the map from which I could figure out the direction I was traveling. Of course I was traveling south and had wanted to go north.

Great Idea?: ALL train stations should somehow put compass rosettes in the sidewalks just outside each set of exit doors.