WHILE EN ROUTE IN IMC, THE ATC CONTROLLER NOTED THAT THE ACFT BEGAN TO REVERSE COURSE & ASKED THE PLT IF HE WAS HAVING A PROBLEM. THE PLT RESPONDED THAT THE ACFT WAS IN CLOUDS, HE WAS HAVING PROBLEM WITH HIS ARTIFICIAL HORIZON & THAT HE DIDN'T REALIZE HE WAS IN A TURN. SUBSEQUENTLY, HE REPORTED FAILURES OF THE ARTIFICIAL HORIZON & AUTOPILOT, AND SAID HE WAS USING NEEDLE, BALL & AIRSPEED. THE CONTROLLER PROVIDED GYRO OUT PROCEDURES, BUT THE PLT WAS UNABLE TO MAINTAIN AN ALTITUDE & HEADING. ALSO, WX THRU-OUT THE AREA CONSISTED OF LOW CEILINGS & CLOUDS TO ABOVE 18,000 FT. THE PLT WAS ADVISED THE BEST WX AROUND WAS AT CHATTANOOGA, TN, WHICH HAD 1300 SCATTERED, 2000 FT OVERCAST, VISIBILITY 3 MI WITH LIGHT RAIN & FOG. SHORTLY AFTER THAT, RADIO & RADAR CONTACT WERE LOST. PARTS OF THE ACFT WAS FOUND IN THE COMBHEE RIVER. THE RIGHT WING WAS FOUND ABOUT 1000 FT FROM THE RIVER. THE VACUUM PUMP, ENG, TURN & BANK INDICATOR AND SEVERAL OTHER ITEMS WERE RECOVERED FROM THE RIVER, BUT NO MALFUNCTION OR FAILURE OF THESE WAS FOUND.