This is probably the best farmer's market I've been to. It's open every Saturday from early morning till around 2 pm-ish. When it gets cold in November, the farmer's market is moved indoors.
You can find almost anything here and everything is cheap. I frequented Dane County Farmer's Market quite often to get fruit and vegetables. Occasionally, I would treat the fiancee to a nice batch of flowers. My favorite edibles are the kettle corn stop, honey sticks, meat sticks, and best of all Stella's bakery for the spicy cheese bread.
When friends from out of town come to visit, I always bring them to the farmer's market and they genuinely have a good time here. You can also tour the capital building if you get bored enough.