The Farmer's Market on the square makes me want to move back to Madison; I so enjoy eating my way around the capitol. As others said, get there early; the later it gets, the more crowded with strollers and slow lolly-gaggers. This is a great way to eat local/seasonal produce and support area farmers; some of my favorites this year...rhubarb muffins, fresh and squeaky cheese curds, apples right from the orchard, and huge kohlrabi.
One big plus is that there is an organization (the name escapes me) that gives vouchers to low income families so that they have the means to buy fresh, locally grown food for their families.