Lake Lillinonah was created in 1955 when Connecticut Light and Power completed the Shepaug Dam on the Housatonic River. Bass Fishing Worth Waking Up ForAsk any serious angler in Connecticut where to chase largemouth and smallmouth bass, and Lake Lillinonah will come up fast. Fall Colors And Autumn VisitsAutumn in western Connecticut is already something to plan around, and Lake Lillinonah takes the season to another level. Tips For Your First VisitFirst-time visitors to Lake Lillinonah will want to know a few practical things before they show up. If you are bringing a motorized boat, keep a close eye on water levels throughout the season.