As a child, I refused to eat non-Greenbush donuts. Now that I've travelled and tasted other donuts, I realize there are other good donut shops but Greenbush is still Madison's home base for donuts.
The old-fashioned, Bavarian bismark, and giant apple fritter are my go-tos.
If you get a giant apple fritter, try to save some for home, microwave it for 5-10 seconds. Amazing.
My friends who visit Madison regularly will typically purchase a couple dozen greenbush donuts right before they go back to their hometown.