It was somewhat strange seeing lightning and hearing thunder yesterday evening, considering that it was January. The NOAA Storm Prediction Center listed two reports of 1 to 1.5 inch hail around Mt. Vernon. There were other reports of high winds and wind damage such as trees down. Meanwhile, tornadoes were reported in Arkansas, Tennessee, Mississippi, and Alabama. You can see the preliminary report at http://www.spc.noaa.gov/climo/reports/120122_rpts.html
While tornadoes are rare in Illinois in January and the other winter months, they do occur. Here are the number of tornadoes by month for Illinois (first figure) and their distribution around the state (second figure). You can see more figures like these here and here.
And here is their distribution across the state for January: