The Chazen is not only Madison's best art museum, but it is one of the best art museums I've ever been to period.
While most art museums seem to be curated for pieces that bring the museum prestige, the folks that curate for The Chazen have an eye for the eerie and the historic. Of course there is the obligatory Warhol print, but for the most part this museum is brimming with art that both excites and terrifies. This isn't your grandma's art museum. This museum is more akin to those attractions at carnivals where you have to peak behind a curtain to see something bizarre. I've been a regular at this museum since I was 5-y-o and will continue to come here until I die.
Also it's free so you have no excuse not to check it out. Come on select Sunday afternoons to see classic films.