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Go urban camping/urbex in Gary. If you want you can pretend you're playing S.T.A.L.K.E.R. Good luck and don't die OP.
Also yeah others mentioned Hoosier National. There are also some other state forests in southern Indiana. Not sure what exists in northern Indiana besides Gary and Ft. Wayne, haven't been North of Kokomo/Muncie much so I'm not a lot of help for where you live.