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Hey Illinois is Pretty good. Like that one guy said, Starved Rock is nice, and there's a lot of cool places down south. Giant City, Little Grand Canyon, Ferne Clyff. Look up Parks around you, or hit google maps and just find some not-obviously owned forest to explore in. It's real nice to light a fire and sleep under the stars.
Pic related, shelter I'm building for fun in some woods behind a warehouse in my town