Try Gary's Wine & Marketplace on Main St. in Madison. They have a really impressive cheese counter and a large gourmet foods area. I can't say for certain that they carry caviar, but I would be surprised if they didn't.
Kings Supermarkets also carries it, although you may have to special order it if it is not during the holiday season. (there is a Kings in both Chatham and Morristown, so which ever is closer to you in Madison)
I was going to suggest Kings and Whole Foods as well...Gary's is a good bet, as is C'est Cheese on South Street in Morristown or the Summit Cheese Shop. If you want to take a slightly longer ride (Bridgewater), I'm sure Wegmans will have it as well.