After Gen Con, I'm heading to Cincinnati (without a car). Any suggestions on best method of travel? Does anyone have experience with the megabus or other bus options?

Highly recommended Amtrak. About 3 hour ride and it is nonstop from Indy to Union Station in Cinci.

One way ticket regular seat is only $19.

If you wanted to go in style with a comfy leather seat - business class is only about $40 one way.

G
 

Megabus can be fairly deceitful. I did one years ago for a one day trip from Lexington Kentucky to Columbus Ohio and back for a Saturday trip to Origins. The bus up was okay with wifi but the bus back had a broken router and bathroom. It's a basic bus ride but $19 for the trip should be fairly reasonable.

You may want to post that you are looking for a ride. Cincy is on the way for those of us headed to middle Kentucky.

I've only had good experiences on Megabus, so, pace qwaserity, YMMV. Anyway, as of today, Megabus from Cincinnati to Indy have tickets for $5 on Wedesday, July 31, and Thursday, August 1. The return rates as of now are $14.99 for Sunday, August 4, and $9.99 for Monday, August 5 (with a late but for only $5). There are several trips a day between Cincinnati and Indy. If you want to get the lower-cost tickets, it will be good to get them soon. You will arrive and depart Indy right next to the City Market, which is a great place for food, and it's not too far a walk from there to the ICC.

re: Amtrak. I'm a big fan of trains, and normally encourage people to use them, but be advised that there's only one route on Amtrak to get you from Cincinnati to Indy, and that's the Cardinal, which doesn't travel every day. For Gen Con, you would need to get the train that is scheduled to depart from Cincinnati at 1:41 am, early Thursday morning, scheduled to arrive in Indy at 5:15 am. To return to Cincinnati, you would either have to leave late Saturday night, scheduled departure at 11:59 pm, to arrive (scheduled) in Cincinnati early Sunday morning at 3:17 am. Otherwise, you'd have to wait until 11:59 pm on Tuesday for the same schedule. Those tickets, for now, can be had for $19, but that's the Super fare, so they will eventually be bought up. The next fare (for the same route, same seats, same service) is $24.

The plus side is that you don't have to miss any work on Wednesday, you arrive quite close to the ICC (and early in the morning, so if you are doing Will Call, there won't be a line!), and you will have three full days of gaming (Thu-Sat). The downside is that you will need to be at the train station in Cincinnati at 1:30 in the morning, and will arrive back at just past 3:00 in the morning. Plus, bear in mind that this is a long-distance route, going from Chicago, down through Indy to Kentucky and West Virginia, then up through Virginia, DC, and the mid-Atlantic, ending in New York (or the reverse coming from Cincinnati). This means that, by the time the train arrives in Cincinnati, it's likely to be behind schedule. It might also be behind when you leave from Indy, but at least then it begins in Chicago, so there's less time to be delayed!

So, a lot depends on how you like to travel, how long you want to spend in Indy, what time of day you prefer to travel, etc. Both with get you in walking distance to Gen Con, so you won't have to worry about taxis or any such when you arrive.