So, here's the magic trick for not getting vectored all over:
First, a little note about how things work here. They are either operating north or south depending on winds. When the flow is north, they generally use runway 32 for GA and 36 for the airlines, south flow is generally 18 for airlines and 21 for GA. 18, 21, and 36 have ILS approaches, 32 has a VOR/DME approach and those are the default instrument approaches for those runways. (There are several other VOR/DME approaches, VOR approaches, and GPS approaches available to all runways except 3, but they are generally only issued by request.) Runways 14 and 3 are not used very often, since the thresholds of both are on runway 18/36. (Actually, 14 has a displaced threshold now, but as there is no parallel taxiway, that doesn't help much.)
So - The way they work here is that there's an imaginary line drawn due east and west across the airport. Approach "owns" all of the airspace on the approach side of the line, and Tower "owns" some of the airspace on the departure side, that is, they can clear airplanes for takeoff without coordinating anything with the TRACON beforehand, they can just toss out departures willy-nilly into these sectors. The limitations of the airspace are like so:
During a North flow, Approach owns everything south of the 90-270 line. Tower gets from 270 clockwise to the 14 extended centerline up to 3,000 feet, from the 14 centerline clockwise to the VOR 21 final approach course up to 5,000, and from the VOR 21 FAC clockwise to 090 up to 3,000.
During a South flow, Approach owns everything north of the 90-270 line, and Tower gets from 090 clockwise to the 32 extended centerline up to 3,000, from the 32 extended centerline to a 200-degree mark depicted on the scopes up to 5,000, and from a 250-degree mark depicted on the scope to 270 up to 3,000. No departures are ever given a heading between 200 and 250 due to some large TV towers in that direction. That's also part of the reason that there are no instrument approaches to runway 3 and for the obstacle departure procedure from 21, which interestingly enough directs you to maintain a 209 heading - That's just inside the "no-zone" for Tower.
Anyway - Here's the important part. If you're on your way *in* to Madison, you want to stay out of those departure sectors or Approach is going to vector you "10-12 miles east or west of the airport." For example, if they're landing and departing to the north, and you're coming from directly north of the airport, you want to stay above 5,000 feet or you will get vectored out and around. So, you'd either want to stay high, or cheat east or west to get out from that middle V between 14 and 21 where you could descend to 3,000. Otherwise, you'll get vectored around.