This is one of the things I look forward to every time we visit Madison. We hit it pretty early in the morning so we can avoid the larger crowds that start around 9 am.
Of course you can get fresh fruit and veggies at the market but they have so much more to offer. Need honey, they got it. Need fresh flowers or jelly/jam, they got it. Want a canvis bag to carry it all, you can get that there too.
The best thing to do is get you breakfast and coffee when you get there and walk around to see the rest. Make sure you look across the street as you walk because there are other vendors there.