We don't have many in Illinois either but we've had a few minor ones. One a year or so ago woke us up in the middle of the night. It really rattled things for a few minutes. They say that you can feel them more if you're barefooted and also if your house has a basement. I know I felt aftershocks for days after that that little one happened here.
According to that link from Crafty there's been a BUNCH of small ones that last few days in Arkansas too. It was listed 26-28 times.
My cousin that lives in Huntington Beach, Ca. says that you're supposed to get into a doorway. I'm not sure why.