Here is the website so you can learn more. Its about an hour and a half from my house and if you go - Get there early- Really early like 6am. Its the best time and there won't be a line to get in. Its free (State Park) but its very popular.
In Missouri, you can go to Johnson Shut-Ins for hiking, camping and swimming. Sitting in a cool waterfall in the heat of the summer is so refreshing and the water makes your skin really smooth, your muscles relaxed and your mood wonderful. I can't recommend it enough.
We are thinking of going camping this year at Lake Wappepello.