St. Louis Canyon is one of the 18 canyons in Starved Rock State Park, and it is definitely one of my favorites (all photos are from St. Louis Trail)! You're able to park outside the State Park, off of Route 178, which makes for quicker access. You first walk down a closed road until you reach the trailhead, from there it is only about a 10 minute walk to the canyon.
Once there you will see a horseshoe shaped canyon with a waterfall, small caves, sand and fallen boulders to explore. It is said this is one of the most popular canyons in the park, but most of the time there is only 1 or 2 other groups there. Sometimes you even get lucky enough to be on our own.
French Canyon and Wildcat Canyon are two more of the 14 canyons adorned by waterfalls. Wildcat is a long descend down steps (going up is the difficult part). French Canyon is slightly hidden away and takes a bit of climbing to reach the waterfall, but it is a must visit.
Though I have never been to Starved Rock in the winter yet, I hear it is something to behold. The waterfalls become frozen, so you're able to walk behind the crystal pillars in the canyons, plus the white of winter has to be a picturesque backdrop.
As a quick side stop, be sure to visit Matthiessen State Park, which is about 5 minutes south. It offers 5 miles of hiking trails ranging from easy to difficult. The interiors of the two dells may be challenging, but rewarding. You can hike down between the bluffs onto the ground. From there you walk to a waterfall and caves waiting to be explored. We went in the springtime after heavy rains. The mud trekking was worth it.