I have been a frequent flyer at the downtown Madison Dane County Farmers Market for years! I go for the produce, sweets, fresh floral bouquets and the ambiance. There's just something about an early morning walk around the square while browsing each vendors goods that makes me smile!
I recommend getting there early, 6:30 - 6:45 AM, to beat the crowds that typically hit around 7:30 AM. The one downside, however, is that several stands do not set up until a bit later in the morning so you may miss out on those by going early.
If you aren't from Madison (or even if you are), Stella's Monkey Bread and Stella's Spicy Cheese Bread ARE A MUST. Make Stella's your first stop so you can nibble at it as you walk!
Most of the parking ramps have a $5 fee upon entrance. Bring cash, as most vendors do not accept credit cards. No cash? Pop into Walgreens on the square, buy a pack of gum, get cash back = Avoid those ridiculous $5 ATM fees!