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I'm from South-Central WI, live in Milwaukee, have visited Chicago plenty as I have family in the Gary area (requiring a passing through of the city, but I've been to Chicago dozens of times for the city itself too).
I don't know much about IL /out/. Tbh I think its one of the worst states, Chicago is literally the only interesting thing that state has to offer.
but the Indiana Dunes are not far, they're within an hour or so and is a nice area for sure.
For stuff within 1-4 hours in WI:
As someone noted, Bong is a nice park with ample hiking
Devil's Lake State Park in Baraboo offers ample hiking as well, with rock climbing and awesome views. Pic related.
Carver-Roehl County Park (Carvers Rock) in Rock Co is a beautiful place, especially in the fall.
Governor Dodge State Park is not far and has similar views and hiking options to Devil's Lake
Janesville is where I grew up and it's the "city of parks" and hosts plenty of large forest areas to hike around and get lost in
Camp Indian Trails is cozy camping
Milwaukee is undoubtedly better for enjoying Lake Michigan in an urban setting unless you have tons of money, and also has a great parks system for a city its size (~650,000). It's a really fun city in its own right, if you want to know more about dining and entertainment here I can tell you.
But save for Devil's Lake and Governor Dodge, if you want more rugged terrain and challenging hikes you'll have to go up North, like past Wausau. Northern WI has some areas that give the appearance of being in foothills and has so many camping opportunities that I can't even get into them now. But expect a 6+ hour drive for that.