The Land of Lincoln has quite the track record. As Jonathan Stein notes, four three of the state's last five governors have been indicted, and if Blagojevich does serve jail time, he'd be the third Illinois governor since 1977 to do so.
Update: Okay, slight mistake, it's only three of the last five governors who have been indicted. James Edgar (1991-1999) was never indicted. On the other hand, Otto Kerner Jr., the state's governor from 1961-1968, did end up in prison for accepting bribes. So Illinois's still batting plenty strong.