They have (had?) a Hertz there, so you can get a car if need be. It's about a 15-minute drive from the airport. It is a teeny, tiny airport with a single "gate" though there is a small snack bar and of course the Full Power of the Mighty TSA™ there to protect you. When last I flew it was on a Saab turboprop; I hear they are running RJs now.
Flying in to STL or MCI are other options. STL is probably half an hour closer. SuperShuttle runs from both airports to Jeff City at a cost of I think $35; that might be a better option than renting cars.