I agree with the poster above the MKE is probably more exciting than MSN, but timing is everything. If you could make it during a football game things are much more lively in Madison (a nice saturday would be spent at the farmer's market at the capitol early in the day, the football game later in the day and the bars at night). That being said, Milwaukee, being a larger city, has more culture, much better museums, and more interesting neighborhoods.

Some other cities I'd recommend:

Santa Fe, NM
Portland, OR
anywhere in Vermont (though any city would be on the small side)
Memphis, TN can be pretty fun
Ottawa, Canada
Quebec City, Canada