as someone who worked across the street from sephora for years in chicago, I was stoked to learn that there was one in madison. even though it's in a mall and it's on the west side (blergh), it beats paying for shipping.
sephora is pretty great. they have a good selection of everything, from styling products to skin care. it's not cheap, but you get what you pay for. if you ever need to return anything, they don't give you a hassle. sephora is my go-to place for makeup and skin care products.