The UW Arboretum is a great place to exercise outdoors in Madison. The arboretum's main road does not cut through the arboretum, except for bicycles, making it perfect for road bike training.
The 1200-acre Arboretum is laced with hiking trails, open from 7am to 10pm. They do get pretty muddy in wet weather, but you can access over 20 miles of trails through the Arboretum.
The visitor center makes for a nice introduction to the nature center side of the Arboretum, if you are interested.
