Madison's Donut Hole ...
Greenbush is centrally located on Regent St. Hours conveniently run from 6AM-12AM. The service is helpful and patient. Donuts are supreme. They cost $9.00/dozen, but the quality of a kosher Boston Cream donut is well worth the little extra you'll spend.
Although I have only tried their donuts, their other baked goods appear to meet the same rich standards.