Echo everything Squeaky says above but also several other different factors to consider.

1) Do you bow hunt or are you strictly a gun hunter--Illinois has no rifle season and is restricted to shotgun/muzzleloader and has a much shorter season whereas Kentucky has a longer rifle season plus two other muzzleloader seasons as well. You can get some awesome bow hunting however in Illinois during peak pre rut/rut because of the lack of guns firing off everywhere however.

2) How important is harvesting more than one buck to you--Ky only allows one on private ground whereas Illinois allows 2?

3) Most important to me as I have held leases in both states and continue to have one in Kentucky is the driving distance. I can be at my Ky lease in 3.5 hours whereas unless you are hunting Southern Illinois you can be looking at a 8-12 hour drive. This is not something most of us working folks can enjoy more than once or twice a year, whereas if I wanted I could be in Kentucky reasonably quickly and have multiple hunt opportunities.

Hunting either states will ruin you on Alabama hunting or at least North Alabama hunting in my opinion.