Far too much construction going on at the moment to really enjoy state street. They are building a new apartment complex closer to UW campus. Old businesses and restaurants have sold their space. Kinda depressing in a way.
That being said, closer to the capital is where the best shops and eateries are in my opinion. Lots of worldly cuisines to choose from such as Mexican, Italian, Indian, American and so on. You also have places to shop. My favorite is the Soap Opera. I love going inside to see what's new. They are kinda $ I must say so I haven't bought anything from them. Still, I love to smell the nice aromas of soaps!
State Street could be much better if they stop tearing down places for apartments. This is becoming a habit of Madison today.