Dane County, the County that Madison is located in has some great lakes for sailing. There are four fairly large lakes in Dane County. Lake Mendota, Lake Monona, Lake Waubesa, and Lake Kegonsa. Each lake is large enough for sailing and you will see boats often on Lake Mendota and Lake Monona. The Capital is between these two lakes making it the only capital city on an isthmus in the county.
the link has info about launch fees and park info