Robbers cave is nice. good fishing. In winter I go to Roman Nose near Watonga. pretty good trout fishing and usually have the whole park to yourself. and it's only about 40 miles from the house.
Actually my family had a BLAST at Beavers Bend state park.....good trout fishing, hiking, etc........really pretty. They also have horseback riding, a small train for the kids. It is in far southeast Oklahoma by Idabel...3 hours from Tulsa but worth the drive.....
Tall Chief and Twin Points at Lake Skiatook are both nice. Tall Chief gets booked pretty quick. I grew up around Roman Nose near Watonga. Its about 2 1/2 hours from Tulsa. The canyons block a lot of March winds. And, like SGTMOJO said, Oolagah is gorgeous. I've always hear Lake Ouachita in Arkansas was stunning - its on my list for this year.
Blue River WMA is really nice. Free camping if you have a state hunting or fishing license. If you have neither, a Blue River passport has to be purchased. Here's some photos.....
How about Osage Hills? Then you wouldn't have to drive too far. I like Robber's Cave over Devil's Den because it seems like there's fewer people. There's still a lot of people but last time I went to Devil's it was in March and there were a ton of people, didn't seem peaceful enough for me. Another one I like is Lake Wedington, pretty close to Siloam Springs. Or wander farther in to Arkansas and hit White Rock Mountain, I think is the name, there's another campground below White Rock on a small lake can't remember the name, I didn't fish it but there were some people catching fish.