All the State Parks up the shore are great, but they do fill up early in good weather. There's a good (and less expensive) campsite in the Superior National Forest and I don't remember that being too far from the city.

Of course, if you want to stay in the city, the Twin Ports does have the largest natural freshwater sandbar in the world -- and for those who don't wreak havoc and keep a low profile, this is probably the best camping around. Head down Wisconsin Point and pitch a tent. Build a little fire. The waves could swamp you at night, so stay up from the water a ways. Always clean up your trash and cover your burnt wood with sand.

I'm not sure what Superior's policy is on camping, though.