Been to the Dane County Farmer's Market more times than I can count over the years. What an awesome event every Saturday. Atmosphere is wonderful. The market extends around all 4 sides of the Capitol.
Highlights of the market are the wonderful fresh food, trying all the awesome cheese samples (curds, fried cheese, aged cheese, etc.). Doesn't get much better than the fried cheese. Great pastries/bakery items too - hot and spicy cheese break, donuts, muffins, scones, etc. I've also bought vegetable plants from the market and they've seemed to turn out better than ones you buy from home depot or somewhere like that.
Truly an awesome place. Lots of people though and if you get there after 10 it is pretty crazy busy. More like a crawl around the Capitol.