While I live in KY we have yet to explore many of the campground in the state. I have hear good things about the "horse park" in Lexington KY. Don't know any details but it has been recommened a number of time to me from other area campers.
When we do camp in state we prefer the state parks and army copr parks to the KOA's right off the interstate (65 in our case). There is a great website for the state parks (corp parks included) at http://parks.ky.gov/
Best of luck and enjoy your stay in the Bluegrass State!