If you're willing to drive accross the Wisconsin border and take HWY 50 west to Bristol you'll find one of the nicest ranges in this part of the country. It's all outdoor though. The fee to shoot is $30 a day for non-members but the yearly membership is only $100. Makes you want to join, right? And a good part of the membership is from Chicago area. I'm there alot.
Look over this site really good. Archery range, trap, skeet, and sporting clays on one side of the road. Normal shooting range out to 200 yards, black powder skirmish area, black powder range, air rifle range and on and on. And a huge clubhouse for holding gun shows etc.