This grocery store is the closest on the west side of the UW-Madison campus, and it works for students in the area, and for people working in the area. I particularly appreciate the little breakfast bar and the fact that a small container makes for a decent breakfast at around $3 to $4. If you have a few extra minutes to wait for a paninni it's definitely worth the wait. Also there's a good selection of grab-and-go sushi's (just grab from the bottom where they're colder).
I have to say that I don't quite understand how people in other reviews call it overpriced, but it's not some monolithic Walmart grocery joint spitting out tons of boxed processed foods. It has a nice variety and if you know you can get a popular item somewhere else, then go there, but otherwise if you want something fun and different get it here.
If you are driving through and need to park, there's an underground lot in the Lucky building off of Lake Street. I think they validate parking if you buy a certain amount, but the parking rates are minimal.