We stayed at Rocky Arbor State Park a couple nights and then the KOA a couple nights at the Dell. Both were equally as nice, although I like the State Park better because the camp sites are more isolated from each other. KOA was OK, has the swimming area, kids water play area, but everyone camped in tight. The State Park provided much, much more privacy. Both are equally accessible to the Dells downtown area or anywhere.
We also went to the Rail Road museum, took the boat ride for both upper and lower Dells, went to the Upside Down house, one of the water parks in the area, and ... oh ... we just loved the McDonalds there!