Well there are some very beautiful places here. I enjoy just driving though the state myself. But you could visit Daniel Boone National Forest, or Natural Bridge State Park. If you like water Land between the Lakes is a good park, and Kentucky Lake is huge (Lake Cumberland isn't half bad either).
If you like cars the Corvette Museum is in Bowling Green, exit 28 on I-65 I think. Heck with GM you never know they could be out of business and giving away corvettes from the factory when you get there, lol.
If you like boxing the Muhammed Ali center in Louisville is neat, in addition to the Frasier arms museum. If you were to come by in the first weekend in May you could go to the Kentucky Derby, which is a hell of an event. The whole festival is fun, and Thunder Over Louisville is my favorite part. The biggest fireworks event you may ever see. Its the largest annual fireworks show in North America. Its two weeks before derby, and has a fun airshow too.
Thats all I can think of for now, I am no tour guide. Others I am sure have more information on their respective areas.
Oh, if you do come through Louisville, Hot Brown's are absolutely delicious. The original is from the Brown Hotel downtown, but many restaurants serve them (they vary though).