Cave-in-Rock is located in the southeasternmost part of the state, near the Kentucky border in Hardin County. The town is surrounded by the Shawnee National Forest and sits atop the banks of the Ohio River. In addition, nearby Cave-in-Rock State Park offers outdoor lovers a variety of facilities with which to enjoy their open-air experience. The wooded park is named for the 55-foot-wide cave that was carved out of the limestone rock by natural forces several thousand years ago.<br> Cave-in-Rock was the notorious hangout of some ruthless bandits and river pirates in the early 1800's including the Mason Gang and the Harpe Brothers. By the 1830's, however, the massive immigration of settlers into Illinois eventually drove out the "river rats".