In the Gatlinburg area, we've had great experience with:
http://www.mountainlaurelchalets.com/
The problem is that Gatlinburg is touristy and traffic is bad. However, to avoid this, you can seek out the Townsend,Tn area.

A 'sleeper' in Tennessee is Big South Fork:
http://www.bigsouthforkinfo.com/

Also, as makbike suggests, the Land Between the Lakes is beautiful, the water is nice, and the hills are wicked! There are state parks in Tennessee and Kentucky, but I don't recommend the one in Tennessee unless it's been renovated.