I live in the south near St Louis, on the Illinois side. there's a state park in Jersey county that's pretty cozy, I go on weekends, and in the summers I play stand up bass for the weddings there at the lodge. Can't say if it's shit or not compared to the others scattered across the state, but I like it alright. Pere Marquette state park, 8000 acres, about 12(?) miles of trails. you can see the Mississippi, and the rock formations are pretty cool. there's also le local touristy stuff too like the piasa bird and Robert wadlo.
there is a path along the bluffs and the Mississippi river up to Grafton and beyond, and it's pretty great, walking or biking. In the Autumn that road is absolutely beautiful to drive down, the changing colors of the trees on the bluffs against the strength of the river is quite a sight.
I've also been to Beaver dam up in macoupin county on a youth group trip when I was a kid; I thought it was a really great place, but can't remember too much about it now. it's only 700 acres though, not as big.
that's about it though, haven't traveled to the others yet.