Ear Wax is THE place to go for buying metal in Madison. They have a huge selection that spans all sub-genres, definitely with an emphasis on the more extreme sub-genres. They also have quite a bit of punk, psychobilly, and ambient, although the focus is really on metal. They also have a good selection of merch (shirts, patches, etc.) although I found the t-shirt selection to be a little skimpy as a person who prefers plain logo T's as opposed to shirts with tons of art on them. Also, most of the shirts are XL.
Ear Wax also has a decent selection of vinyl, DVD's and 'zines, although I've never really checked them out. The focus is really on CD's.
If you are a "casual" metal fan who thinks that Slipknot and Trivium are the best the genre has to offer, you will be overwhelmed (and possibly intimidated) upon walking in. If you aren't a metal fan at all, you won't find anything of interest unless you want a Cannibal Corpse t-shirt for irony purposes. If you're a die-hard metal fanatic, however, this store is right up your alley. Every time I go in there I have a hard time limiting myself to only a few purchases because there is so much that catches my eye. Just about every big metal band is represented, along with a whole bunch that I've never heard of.
The price is right (usually around $12 for a CD, $7 used) and the selection is unbeatable. If you love extreme music, you can't pass up the chance to visit this awesome store.