Sand Hills is just hysterical. You fly into North Platte, drive fifty miles, your golf juices spilling all over the rental car, get to the pro shop, slip into a golf cart and drive almost a mile and you get a true cow pasture for a range. It is oddly perfect for the otherworldly feeling of the entire experience.
Back on subject, here in Chicago, Conway Farms, a relatively new course (10 years or so) has a terrific practice facility as does Harborside, a rustbelt site with 36 holes. I was blown away by two clubs in the Hilton Head area, Belfair and Berkeley Hall, which both have spectacular practice/teaching facilities. The golf wasn't nearly as good as Long Cove, but the practice areas were terrific.