I'm very bummed that Madeleine's closed. But on the west side there are a few places I'd recommend.
La Baguette has some of the best pain au chocolate, pastries and sweets around. Their french desserts are great.
The best cookies I've found are the chocolate oatmeal cookies at Potbellies. Some and chewy and lots of chocolate chips. Can't recommend any other cookie sources except sometimes Barriques has a few good ones.
Have you tried Clausens. I still hand carry their morning buns to a friend who moved from Madison to Boston whenever I'm out there. Their almond pastries are good too.
On the east side there was a bread company on Williamson near the park.. If I remember correctly, their cookies were pretty good and pastries really yummy. A plus is that they serve Intelligensia coffee.
Mmm... I find a lot of good bakery at the farmer's market. But for everyday sweets, I like Lane's a lot. Carl's Cakes has a great carrot cake and a nice lemon poppyseed with raspberry. Of course, donuts from People's on E Wash or Greenbush. Wheat sourdough from Clasen's makes killer toast. Just had a nice lunch on thick homemade bread from Lakeview in the Hotel Ruby Marie. And for a great time with tongs, there's La Concha... dang, now I'm hungry!