My two cents...
Wilcox is worth the visit. Terry's shop, in Janesville, is also worth the trip. Principally for the experience of Terry, and what is likely the world's only magic shop/welding business and magic theater.
The University Book Store in Madison used to stock Genii and Magic magazines, and a wide variety of top-notch magic publications. They no longer do. (The guy that used to keep it well stocked got an offer he couldn't refuse...so I switched jobs, and now run a bookstore in Milwaukee.)
There is no magic shop in Madison, at the moment. Theophilus and Jest for Fun are also near-by in Milwaukee. Theophilus has a great selection for a small shop, a great staff, and a fun crew of regulars. If you decide to visit Milwaukee, American Science Surplus is a wonderful pit-stop if you like to tinker and dream. Some of the weirdest stuff ever assembled in one place.
Madison has an IBM ring. It meets the first Sunday of the of the month at the brewpub T.J Whitney's. There are a few really good bar/restaurant workers in town, so there's usually an evening of magic a couple of nights a week. Pick up the free news/arts weekly, the Isthmus, or log into thedailypage.com when you hit town for specific events/times/places.
The area has fabulous local beer, wine and, of course, cheese. In the summer, Madison is best out-of-doors. There's a nearby festival most weekends, one of the biggest farmer's markets in the U.S. every Saturday morning on the Capitol square, and some of the best bike trails around.