Hi Jaycee! Welcome to Cavechat.
I grew up across the river in Iowa and that's where I started caving. I wouldn't call that part of the midwest a caving Mecca, but there are certainly options for you. The first thing to do is get in contact with some local cavers. They will probably have some equipment to lend you and can guide you in what to buy. They also will know when the caves are. They will help teach you to be safe and to keep the cave safe from people.
Here's a link to caving chapters in Illinois:
http://www.nssio.org/find_grotto_overview.cfm?state=ILThere are chapters in pretty much all the states, if another one is closer to you.
I should warn you that this is a tough time to start an interest in caving. There's a fungal disease spreading across the US that is killing bats on a huge scale (White Nose Syndrome-WNS). It's very controversial whether cavers can spread the fungus, but many areas have ban on caving. Others require decontamination procedures on your gear. Cavechat has an entire subforum on WNS that will tell you more than you ever want to know on the topics (plus a huge amount of b***hing).