Start off with the list of Online Databases, and prepare to be impressed. This is some collection.
For starters, there's an all-too-rare slavery and emancipation database which allows lookups by name of slave or owner, or by other search parameters, such as location or date.
There's also an unusual set of more than half a million records of public domain land sales where you can find property ownership for the likes of Abraham Lincoln.
Other treasures here include:
Illinois Veteran Records, including those from wars you don't often hear about, like the Black Hawk War, or the Winnebago War (probably not what you think!).
Some fairly standard Vital Records Databases:
Best of all, for genealogy buffs, anyway, Illinois had the cyber-presence of mind to host a Global Database Search, a one-stop lookup where you can search for family names (or anyone's name!) in all name-lookup databases in one easy search.
Lastly, there is also a somewhat annoyingly-presented Illinois Township Plats site, with detailed maps from the entire state.
The second site of note is the Illinois Digital Archive with dozens of topic areas, but not always as much content as one might expect. Only 42 documents on Abraham Lincoln! C'mon guys...there's gotta be more to Honest Abe's history than that! Still, there are some interesting and very diverse materials here, in the following collections:
Update...this next site has been retired and the datasets merged with the above two resources.
The third archives site, from the Digital Illinois pages of Illinois State Library has a lot of overlap with the other archives (same old 42 Lincoln documents), but also some distinct materials of their own, including a few materials, like the postcard collections, that are not focused solely on Illinois.
At the risk of repetition, I'll list their collections as well:
Three cheers to the Unity Point Library in Carbondale. Enjoy!
More historical archives and research materials can be found at these excellent resources:
Historical Newspaper Archives Ancestry.com
Genealogy Tools US Historical Newspapers
European Historical Newspapers International Historical Newspapers