We live in Madison and almost never fly out of here. We mostly fly from Milwaukee on Midwest Express. The fares are less expensive from there (most of the time - every once in awhile there's not much difference), and by the time you fly from Madison and connect in Milwaukee, it takes about the same amount of time as driving there. If you travel to Milwaukee, just choose your flight times carefully as you have to drive on I-94 or I-894 to south of the city to reach the airport - you don't want to get caught in rush hour traffic. Have also flown Air Tran and NWA out of Milw, and both were fine. I avoid connecting at O'Hare (the OP is right about MSN - ORD flights being cancelled, especially on United), though if you're not traveling with much luggage, the Van Galder bus to O'Hare is very comfy and not very expensive. Just flew SWA out of Midway for the first time last week- not a bad trip at all from Madison, but again, you need to watch the times of your flights so you don't get caught in Chicago traffic.
We've done a couple Park, Sleep, and Fly packages in Milwaukee that were very reasonably priced. Did not find that to be the case near Midway. The least expensive Park, Sleep, and Fly room at the Midway 'pod' of hotels was $159.00 plus tax.