Whenever I travel to Kentucky I like to head north on Interstate 55 in Arkansas just before you hit Memphis. Go sixty-six miles into Missouri then east on Interstate 57 twelve miles to US-62. Head east and you will travel over two bridges where the Mississippi and Ohio Rivers converge--you will actually be in Illinois (near
Fort Defiance State Park) very briefly.
In Arkansas, Hot Springs is a really neat place to stop and check out (and get a massage). Last time we were there we stayed at
Lake Ouachita State Park which is one of the cleanest lakes in America (so they say).
Eureka Springs is a neat place to visit, too, but would be rather out of the way headed to Kentucky.