There aren't many great options in this category in Madison.
There's the Princeton club with it's locations on the extreme East and West sides, one of which is big but just OK and the other, though very new, boasts the size and ambience of an Airbus A300-600ST Super Transporter constuction hangar. There's the YMCA which does an honest day's work, but is awash in squealing children a lot of the time. There's the University gyms which require an official UW connection for admission, is often overcrowded and which I find just too damn visually distracting and hazy from pheromones.
Which brings us to Capitol Fitness, two blocks east of the State Capitol building. It's not an especially showy or new facility, but it has an adequate range and quantity of equipment, good facilities and equipment maintenance, in-house sports massage and a number of worthwhile classes. You're always within view of a television and often in control of one (bring headphones.) I haven't found their membership rates to be especially low or high, but they don't do the creepy, non-transparent Princeton Club tour-sell-isolate-close, which is nice. At night, there is free parking beneath the building, during the day street parking can be iffy but attainable (think of the one to three block walk from your vehicle as your warm up.)
The staff is nice. They're open early-to-late, but not 24 hours (a factor for some people.) I can highly recommend their personal trainers, especially a former circus acrobat turned bodybuilder named Septi.