Does anyone have advice for flying to Sicily with the least headaches from the greater Milwaukee/Chicago area? I've been looking at the budget airlines, kayak, etc but just wondering if someone could give me firsthand advice on any good/bad experiences they had. We were thinking of flying into Palermo and out of Rome. Would love to hear anyone's 2 cents

You will need to connect via Rome or Milan to Palermo---Airone has flights as do others.

This may be a stupid question, so I apologize in advance...but when you use an airline like Airone, do you first book your ticket with another airline to get you to, say Rome, and then book a separate ticket through Airone or Eurofly from Rome to Sicily?

It depends if the smaller airline is partnered with a larger one. It seems that Airone is partnered with Lufthansa, so I suspect if you flew Lufthansa, you could book the complete itinerary together. I don't think Eurofly is partnered with anyone.

From Chicago consider also American or United to London and then Ryan Air (from Stansted) or Easy Jet (from Gatwick) to Palermo non stop (I believe both of those airlines also go to Rome). You would have to change airports but the price or schedule may in the end be worth it. There are many London flights on UA and AA from Chicago so it tends to be cheaper for that segment over the Atlantic anyway.