Okay, I need help from all of you who seem to be much more seasoned travelers than I am...

I am trying to find a cheap one way airfare ticket from anywhere in the WI/IL area to Knoxville, TN. I do not NEED a round-trip ticket. However, as I kept getting such high prices back for a one way ticket, I started searching for round-trip tickets to do a comparison. To my surprise, I find that the cost is about the same, and occasionally MORE expensive, to fly one-way than it is to do a round-trip ticket!

HUH?

Does anyone have an explanation? Does anyone have any tips for a cheap one-way airfare ticket? I've tried Orbitz, etc. and some of the national chains - like Northwest and Southwest.