Beech Fork is the closest state park to Huntington, being about 20 minutes away. Lots of good fishing, biking/hiking trails and the largest campground in the state parks system. Here is the website from the state parks system.
Beech Fork State Park - West Virginia State Parks
Some other parks that are close include Cheif Logan state park
Chief Logan State Park - A West Virginia State Park which is about an hour and a half away via I-64 to Corridor G. Hawk's Nest state park
Hawks Nest State Park, West Virginia State Park is also about an hour and a half away and can be accessed by taking route 60 the whole way or taking I-64 and then connecting into Route 60 as the roads pretty much parallel each other. Another interesting place to see is Kanawha Falls. This is just off of Route 60 on the way to Hawk's Nest. While not an official state park, it is gorgeous none the less.
Kanawha Falls, WV pictures from scenery & nature photos on webshots
Those are the closest parks to Huntington with many others being within 2 hours and still more being less than 3 hours away. Something else to consider in the fall are the New River Train excursions. Direct from Huntington, this scenic train ride takes you through some of the most beautiful scenery (including Kanawha Falls and Hawk's Nest) to the New River Gorge, with the final stop being in Hinton. The excursions are over for this year but they are a yearly thing. The only catch is that the seats fill up very fast. Here's the link for that
The New River Train - Collis P. Huntington Railroad Historical Society (http://www.newrivertrain.com/nrt.shtml - broken link)
Hope this helps and let me know if you have any other questions.
Tim