There are a few small club shows in Indiana and the State Show in Indianapolis the first weekend in November. The State Show is a mid-sized show with around a hundred dealers. Next largest is the annual Muncie Coin club show in January with around 70 dealers, then the Old Fort coin Club show in March with 56 dealers. Those last two are one day shows though. there is a monthly show in Indianapolis but I have never attended it so I can't tell you anything about it.
Kentucky, well there are two shows in Lousville. One hosted by the Lousville Coin Club. It used to always be in October but I think now it comes around the end of September. Then there is the Derby City Show in early December It is a one day show and is a small show, last I knew maybe 35 dealers. I'm not sure how large the Lousiville Coin Club show is anymore. It has been several years since I have attended it. From time to time a show has flared up in Paducah but I don't know anything about it. Unfortunately Kentucky is a lousy state for numismatics. Few dealers, almost no shows, and if you get a chance to see the membership by state for several of the national clubs you will find the Kentucky membership is a fraction of any of the surrounding states. (Indiana isn't great but it's a lot better than KY) They don't even have a state organization. They did but it was pretty much just a "paper organization" for most of it's existence and within the last six months it folded and was merged into the Lousiville Coin Club.
The Sharonville show that BadThad mentioned is a fairly good show. It has been around for a long time. It used to be a September show but two years ago it moved to June. It has also shrunk in size considerably in the past few years but it has been showing some signs of growing again.