Indiana is so conservative for one simple reason:
It's the south, without the African-Americans.
Admittedly the northern lake area counties are part of the North and thus make Indiana a little closer to the center than the deep south (Carolinas, Georgia minus Atlanta, ala. , miss. , etc. ) if they all of a sudden lost all their African Americans.
Ohio and Illinois is much the same but they have far larger areas where the white folk are northern white folk, rather than southern white folk. Sorry if that seems offensive, but there really isn't a better way to put it, each minority type varies somewhat by region but caucasians vary wildly by region, some whites are new england liberals, and some are bible belt conservatives and the midwest is where they mix .
My theory on the Klan being so strong in Indiana is that they found it to be a haven of like minded people without too many of the people they hated (er ... still hate) being around.
This sounds about right. There certainly are southern whites who live in the North, and visa versa. The suburbs of Chicago fit in with the North, but most of the state fits in with the South.
What I find interesting is why is the Fort Wayne area so conservative. I've never been there, but I didn't think it was at all southern.
I don't think Ill. (w/o Chicago) and Ind. are comparable politically. Gore would have still won Illinois without Chicago.
As Kghadial said, IL goes to Bush in 2000 without Chicago or Cook Co. Without Cook, Bush wins 1,484,591 to 1,308,041, a comfortable margin. If only the city of Chicago is removed, Bush still wins by 1,862,189 to 1,834,305. All Democrats know they need a big margin in Cook (Gore was +750,000) to offset the rest of the state.