If you control all three red properties, Illinois is the most valuable property in the game. As already mentioned, it's the most statistically landed on property (the advance to Illinois Ave chance card helps with that), which is what makes the reds slightly more valuable than the yellow properties on the same side of the board. What really helps the red properties, is that it is much less expensive to build them up than the green properties, yet the payoff is still quite big when someone lands on them. Of course Illinois also has a slight advantage over the other two reds in that it gives you slightly more rent.

From a statistical standpoint, it may be the most landed on property, but I always seem to land on Income Tax and Luxury Tax more than I land on Illinois.

Statistically, the most commonly landed on property in the game. Unfortunately, this is widely known, so gaining control of the red group is often difficult, thereby decreasing its importance in late stages of the game.