There is a small Con down in Bloomington that runs some
40K Tourneys. Very well run and usually have a good turn out. The Con is called Flat Con and if you can make it down for a day I would strongly recommend it.
http://www.flatcon.com/default.shtml
There is Rock Con out in Rockford.
http://www.rock-con.com/
and
Cod Con (College of Dupage) but I don't think they run any
40K events.
A good place to check for event in and around the Chicago area for
40K/Warhammer is the Adeptius Windy City (AWC) web site.
For Warmachine there is Adepticon, of course, then Die Con is just outside of
St. Louis, and Warmachine Weekend in Springfield,
MO. Otherwise there are a lot of small Warmachine events (small scale tourneys) in and around Chicago as stores like Dice Dojo (Chicago), Games Plus (Mt. Prospect) and New Game in Town (DeKalb)...