I firmly believe Spalding Bakery makes the best donuts in the world.
I have sampled wares from most of the big chains (Dunkin Donuts, Tim Horton's, and yes, Krispy Kreme), and compared to what you get from Spalding, the "competition" is serving cardboard.
Spalding Bakery has been a Lexington landmark since 1929, and is a family business spanning four generations. They have relocated from the long-time location at the corner of N Lime and Sixth to Winchester Road, but from what I hear they aren't cooking any more, so you'll still need to get there early if you want any!
The family consistently turns down interview requests, saying that they are happy with the amount of business they currently get. They make a bunch of donuts in just four varieties early in the morning, and once they sell out (usually by 8 or 9 am) they close for the day.