Does the state of Illinois have a penalty for making a early withdrawl on your 401k? Aware federal is 20% + 10% penalty, but what about state: Illinois.

No, this is regulated under federal law. However, if there is a state income tax, then you will have to pay state taxes as well as federal.

Also federal is NOT 20%, this is a common misconception because the plan admin is required to withhold 20% on an inservice withdrawal. What actually happens is the amount of the withdrawal is adding to your income on both federal and state returns. What you will actually pay depends on your tax bracket. Its also possible that a large withdrawal will push you into a higher bracket. The 10% is the penalty. The rest is just taxation. Remember money goes into your 401K pre-tax. The rationale being that when you take disbursements after retirement your tax bracket will be lower. But as soon as you take the money you then have to pay the tax on it.

Hopefully you will not have taken anything out yet. Doing so could result in a huge hit on the funds.