I've been to the Alliant Energy Center many, many times throughout my life. I still call it the Coliseum 97% of the time. It was the site of my first concert (Boyz II Men and Brandy), I used to run wild through the halls while my little brother had hockey practice or a game, I've been to the lumberjack games and Brat Fest outside, and even seen presidential hopefuls speak in the convention center. My most recent couple of trips have been for hockey, supporting our new Madison Capitols team. The games I've been to haven't been super well attended, but it's fun nonetheless, maybe because it reminds me of when I would go as a kid and roam the place like I owned it.
Concessions are moderately priced - I believe it's $4.50 for a soft pretzel with cheese, and a similar price for a soda - not cheap, but also not nearly as high as many similar venues. The beer is where they get you ($6 for a 12oz can), but if you're heading to a Capitols game you can take advantage of their $1 beer nights.
You're not going to get anything fancy when you attend an event on the Alliant grounds, but I've never had a bad time there. Embrace the dated, 60s quality of the Coliseum and enjoy a big-ticket outing for a pretty reasonable price.