I'm a big fan of Sur La Table and have been eagerly awaiting their Madison opening! This is a great little kitchen shop, with a range of products from very affordable to more high end. Their cookware line is fantastic - I have an 8" non-stick saute pan which cooks up perfect eggs with no oil or fat needed and washes up clean.
They frequently have sales, so if there's a big ticket item you want - watch for specials!