Just stay away from Illinois. There isn't a single gun shop here I would call great. Some are acceptable, but they're all lame. The best bet in Illinois would be Ron and Jo's in O'Fallon on the 64 frontage road. They're pretty nice there and they're somewhat reasonable, but it's like walking into a broom closet stuffed full of guns.
Do not, I repeat do not, ever go to the Belleville Shooting Range. The guy who work there are clueless, they'll ignore you, and they're just generally assholes. Fuck them. The ones in Missouri, I've been told, are a lot better. I'd stay over there. In fact, the only reason I'd go into Illinois is to see how you don't want your home state to turn out. Don't carry a gun around in Illinois either. Instead of going to Illinois, I suggest you go to the Arch, the zoo, and the museums in Forest Park.