In my family, kolaches are a small, round, sweet cookie with a thumbprint-sized indentation filled with a sweet filling, either fruit based or poppyseed. Other recipes are similar but fold flaps of dough over the filling.
I've never seen sweet kolaches for sale in or around Madison. However, if you're up for a drive, Montgomery MN's Kolachy Days celebration is June 27-29 this year. Otherwise, if you can find some space to use for rolling out the dough (dining room table?), making them at home isn't so bad.
Near east, near west, or central (or more specifically, not far past Monroe Street to the west and 1st Street to the east). The most interesting grocery stores, specialty food stores, spice shops, gadget shops, bars, and restaurants are in those neighborhoods, and they are at most a 30 minute bike ride to the far end, or a 5 minute walk to the near end, of that corridor. Further out in either direction just means longer car trips or bus rides when you decide to hit up a place on the other side of town.