Wait a tick. Maryland and Virginia are southern states, not East Coast.
Yes, Illinois sucks (El Tejon, inmate, Chicago, '92-'95), but shortly it will not suck as badly after the 7th Circuit gets done with it.
State Parks? May want to check out the Indiana Dunes. Not sure what you want to do, but the Dunes are always relaxing. If you sail, may want to rent a sail boat out of Beverly Shores or Town of Pines. I enjoyed learning to sail up there as a kid.
Indiana Dunes=>
http://www.friendsofindianadunes.org/