For a first time elk hunter from Illinois doing a DIY hunt, Colorado is probably a good state. You might consider doing a cow elk hunt. The tag is cheaper and easier to obtain. You want to give some consideration as to when you want to hunt and at what elevation -- these are kind of linked together, as already discussed. The elk tend to stay up high, from what I have learned by reading and talking to people, until during or after second Colorado rifle season . . . because the moderate to heavy snows typically do not arrive until middle or more likely late October (somewhat heavy snows came during first rifle season in 2006, which I hunted and was led to believe was pretty unusual, although not unheard of). "Up high" means about at timberline, maybe 11,500 to 12,000 feet altitude. In much of Colorado, public land is up pretty high and the lower elevations may be privately owned with attendant steep trespass fees required to gain access for hunting.

A good recommendation is to start off reading some general books on elk hunting. Also, go to the Colorado Department of Fish and Game (or whatever the equivalent state agency is called) web page, go to their hunting web page, and order a copy of their Colorado Big Game CD for elk. This CD provides invaluable information on draw odds, location of game at different times of year, and success rates. Study this information carefully. One salient piece of sobering information that can be gleened from this CD is the low success rate of hunters -- perhaps 25% or less. Keep in mind that some highly seasoned, experienced hunters have much higher success rates, thereby indicating a probability of less than 25% of first time, non-native, DIY hunters. I'm not disparaging your plan, just trying to bring you to reality. Plannning and other homework activity certainly can improve your particular odds over not planning and not doing homework on this activity. My first elk hunt in 2006 was a DIY hunt, and I made many mistakes. I think it was a valuable learning experience. I'm planning to go back in 2008.

Being in excellent physical condition is important. Strong legs for constant climbing is necessary. Aerobic conditioning for stamina and endurance to hunt all day for 5 to 7 days with minimal recovery time overnight before having to shake it out of bed and get hiking back out before dawn. If you have not spend several days hiking in the mountains at timberline you might want to go out for a backpacking trip just to see what it is like, to find out if it is your thing. I've been out to the mountains many times but I went out for an overnight backpack/scouting trip in July 2006, and this was a wake up call for my conditioning effort. I was actively conditioning, but I kicked it up a notch based on that overnight trip. I was glad for this increase later, but it still didn't make it a piece of cake even then.

You should have a GPS, it doesn't have to be an expensive one or a topographic map enabled one. Learn how to use it before you go out. Most valuable, in my opinion, are features to mark positions (like where you parked your truck, where you had lunch, where you turned off the trail, where you left your elk meat from your kill) and navigate to any of the marked positions. Take extra batteries. Take a back-up compass and maps.

Have quality sunglasses or mountaineering goggles. At 11,500' the sun is like a knife gouging into your eyes glancing off of boulders and/or snowfields if you don't have good sunglasses or mountaineering goggles. Take lip balm.

As suggested, have a plan for getting the meat out. A realistic plan. Take a backup knife. Keep a knife with you when you are out hunting. Do not plan on dragging your kill back to the truck. Most likely you will need to deal with your kill at the kill site. Even horse equipped hunters gut and quarter the elk up to get it into portions manageable for packing on horses/mules. You might expect an upper limit of 200 LBS of deboned meat from a mature bull elk. If you plan to pack out the meeat on your back you should definitely debone all the meat.

Use clothes which retain warmth when wet (not cotton) and readily dry out. Wool is excellent in this regard. Others like synthetic fleece. Plan to use layers of clothes which can be shed or put back on as you heat up/cool off or as weather changes. Plan to have a means for drying clothes overnight. Being cold all the time can grind on you quickly, so having a way to warm up at night is a good idea. Use good quality hiking/hunting boots that are well broken in. I have read that the hunters who cover the most miles -- 8-10 miles per day on average -- see the most elk, generally. I use Meindl Perfekt Hunters from Cabelas, but surely there are other boots.