I live in Illinois and want to know when and where is the Weber Grill
annual factory sale that I hear about?

You could try to ask those who should know best:

Weber-Stephen Products Co.
Customer Service
200 East Daniels Road
Palatine, IL 60067-6266
--
Phone: 1-800-446-1071
E-Mail: support@weberstephen.com

Scriptor

There doesn't seem to be an exact time for the annual grill sale. 
Actually, it may no longer be an annual grill sale as there was no
sale last year.  The event is held at the Factory in Huntly, just
north of the factory outlet mall there and next to the Jewel.  I was
out there in 2004, but the line was too long and we left (really
regret that).  That event was held the first weekend of October. 
Prior years had the event in August.

I called Weber's customer service hotline last week to get a date and
time of the Annual Grill sale.  It looks as though the annual grill
sale will not be so annual anymore.  Per the Customer Service rep - It
is a management decision NOT to have the grill sale again this year. 
I wonder if we will ever see the grill sale again?  The purpose of the
grill sale was for Weber to move off grills that were either damaged
or did not sell during the year from various vendors such as Lowe's,
Ace and Home Depot.  However, last year, I noticed that Home Depot put
their Weber grills on-sale online during the Christmas season (as well
as free shipping and 10% off).  It looks like Weber is changing their
business model.