I've ridden in the Purchase area of Western Kentucky - that part of Kentucky that is west of the Land Between the Lakes - quite pleasant. The river towns are especially nice - the county roads are very quiet. Plus there's the Hickman/Dorena ferry over to Missouri - a wonderful way to cross the Mississippi River.
http://www.dorena-hickmanferryboat.com/

New Madrid, MO is very historic and easy to get to from Hickman. You can make it a loop by riding over the bridges at Cairo, BUT they are narrow and long.
http://www.johnweeks.com/river_missi.../umissC12.html
http://en.wikipedia.org/wiki/Cairo_Ohio_River_Bridge

Amtrak's "City of New Orleans is the only train that goes south of Carbondale - but it arrives and departs Fulton and Dyersburg in the middle of the night. Also, neither of those stations has baggage service. (Amtrak no longer stops in North Cairo.) Carbondale and Memphis are the closest stations with baggage service - Carbondale has three trains each day.

You might want to consider a loop out of Carbondale if you plan to Amtrak it. Carbondale is a bike-friendly town - with the TransAm and SIU. Little Egypt has great riding - but there are some hilly sections. The bridge over the Mississippi at Cape G'deau is new and lovely. That would leave just one of the Cairo bridges - over the Ohio to navigate. Or you could ride down to northern Tenn and over to Land between the Lakes - then up to the Ohio ferry crossing at Cave in Rock and follow the TransAm back to Carbondale. Still, you would have the US 79 bridge at Paris Landing (4 lanes with shoulders) and the Smithland bridge on US 60 (2 lane, narrow) over the Cumberland River.
http://bridgehunter.com/ky/livingston/smithland/

Don't know how long you have and how much experience -
The shorter loop on both sides of the Mississippi from Carbondale could be done in a long weekend (4 days) with 50 miles days. The longer loop via Land Between the Lakes could be an easy week. The river towns all have simple motels and usually a nicer B&B.