I live in Madison for my job as well. While I fail to offer here any new specifics (beyond nitpicking and adding a few more favorite local ethnic choices) to what has already been added above, I have to agree, that for its size, Madison has an incredible selection of ethnic foods; it is truly a melting pot and a wonderful place to live and dine. But, yeah, the winters can be cold. The summer is second-to-none, especially with its lakes, creative festivals, many CSAs, and one of the most renowned farmers markets around. As such, it supports a strong scene for organic, local farm-to-table dining and organic cooking enthusiasts.
Some of my favorite local ethnic places to dine include:
Taste of India (my personal favorite of many Indian restaurants in the area), Shish Cafe (Middle Eastern), Lulu's (Middle Eastern), Kabul's (Afghan), Sa-Bai Thong (Thai), Bandung Indonesian Restaurant, Lao Laan-Xang (Thai)!!!!!, Casa Del Sol (Mexican), and so on. It's hard to keep up with all of them. We even have (had?) a traditional Russian restaurant.
Bandung Indonesian Restaurant
There is a lot of bad press on the internet about this club. I've been a member for almost a decade and I still love being a member. I wonder what all this fear and bad press is about that I never experienced. I'll admit there are some minor annoyances with them such as some of their marketing techniques (which I think is responsible for the rampant bad press on the internet), but all and all, I am particularly happy with their magazines. This is very high quality, filled with all kinds of incredibly tasty recipes that range from pathetically easy to modern and gourmet. They offer cooking classes that are awesome. I mean, it's not even that expensive. Cooking Club of America is a great thing and I never regret being a member. It's sad that some of their minor annoyances in their marketing techniques have been disproportionately used against them to the point that the internet rumor against them has morphed into this fictional and ugly monster. If I had done internet research on forums before joining the club, I definitely would not have joined the club because it sounds so terrible. It's sad, because I love being a member.