Sow's Ear is a fun place to come for knitting supplies. Their hours are a bit inconvenient for me, since they close at like 6pm for a coffee shop. It's because they regularly run knitting classes in the evenings. Occasionally they have their late night knitting on Fridays where they're open until 11pm, and usually that's when I manage to make it out to Verona from Madison.
The place is quite charming. There are plenty of little niches throughout the place to hide away and knit for a while. The walls and shelves of yarn and other knitting supplies are inspirational in their colors and fiber. There are also patterns for sale. The staff is knowledgeable about the many different kinds of yarn as well. This is a great place for a knitter in Madison to check out.