After spending a month in Europe, I was very excited to come back to Madison and rediscover Clasen's European Bakery. Though the shop is about ten times bigger than any bakery in Europe, you can find some pretty authenic goods, and the kitchen is said to be staffed by German master bakers. Of course, nothing tasted quite the same as the real European thing, and you are sure to find some pretty standard American bakery there as well.
Clasen's doesn't look like too much when you first walk in, but who cares when you have a warehouse of good to gawk at? There are shelves and shelves full of cookies, desserts, breads, sweetbreads, etc! Everything I've tried is quality and very fresh. Be sure to come early for the best selection.
Prices are decent, but the staff can be grumpy. There is ususally a sale or special deal to look for on one of the store's front tables, and a wide selection of holiday items. Also don't miss the sampling area near the back.