Gotta visit the Shawnee National for nice camping and backpacking. The river to river trail is awesome, and can be done in sections. Camp at Panthers Den, large overhangs, located along a creek. Huge fire pit, wide open spaces.
I have been lucky enough to camp on mostly private ground but have been to Ferne Clyffe State Park, am still looking to put together a trip for the wife and kids to Garden of the Gods for some "primitive" camping. Most of my gear is Kifaru or military surplus type stuff, I have been trying to buy better quality simply because I have learned the value of good kit.
Im a Outdoor Adventures leader at Northern Illinois University. We have done Red river gorge and I agree, awsome. If you were thinking northern illinois, there are some backcoutry sites that are around Oregon, il. I love to drive over the border into Wi and hit up kettle morraine south. nice ~35mi stretch of wooded country. they also have 3 shelters with pit toilets to reserve for cheap.