Illinois gets a bad rap, mostly because of Chicago/Cook county. But even that's not that bad any more.
Takes 1-3 months to get a FOID from the Illinois State Police (ISP) after that, there's a 72 hour wait on handguns ad 24 hour wait on Long guns. Plenty of gun shows, but the NICS (actually ISP) check has to be done for all transactions. Private sellers can call the ISP direct. I've never done it, but I understand it can be fairly easily done. I think there's instructions on the ISP website, along with said phone #.
No magazine bans (again, unless in parts of Cook County)
No assault weapons bans (unless you are in Cook County)
Sadly, No Class III (suppressors, FA or DD's allowed state wide.)
State-wide shall issue CCW, takes 30-90 days (it can be pricey, electronic fingerprints are $65, if you skip that add another 30 days to get your CPL. applying to Illinois State police is $153, class vary depending on how much you much you need. Hunter Ed gets you a 4 hour credit, DD214 gets you an 8 hour credit off the 16 required hours of training.) Most class used to begin at about $150-200, but since the demand has dropped, I often see classes offered at 50-75% off those prices).
More and more indoor ranges are opening, several in the suburbs of Chicago. (Chicago Gun Range in Chicago, GAT Guns in Gurnee, Article II in Lombard, Rink's in Lockport is a dive, Midwest Guns in Lyons, Maxon in Des Plaines, American Firearms Training of Illinois in Northlake, Illinois Gun Works in Elmwood Park, and there's another opening soon, I disremember where.) Several nice outdoor clubs in the outlying suburbs and throughout the state. My club, ASC in Waterman, has everything from 50ft to 600 yard ranges and you can shoot anything up to 50 Cal. We've even shot mortars and Civil War Artillery on the 600yd range. If you use Google Earth, the club is the pyramids south of town. Several folks from here have shot there at one of the meet-ups a few years back. The Illinois State Rifle Association has nice ranges in Bonfield. (near Kankakee). Get away from Chicagoland and lots of folks have ranges in their back yards/back 40. .
However taxes and the .gov sucks so don't move here.