The Chicago Skyway connects Chicago and Indiana. Like many things that have been privitzed, it has gone downhill. They have plenty of toll booths, but not all of them are open. There is a McDonald's near the toll booths.
You don't really know when you enter Illinois. You aren't going to see a big sign that says welcome to Illinois. If you want to know where the state border is you can look on Google maps. I did that and it still did not clarify things for me.