I wasn't in Madison but I was around an hour away.
I was in high school and we were between classes, everybody in the hall. Oscar, the principal, made an announcement over the PA. Everyone got real quiet, and then Andrew, the school loudmouth, started to laugh.
Bonnie, a large capable student you wouldn't want to mess with, walked over and punched him in the face.
Everybody was sent home, and I don't think we had school the next couple days or else it was the weekend. There was NOTHING on TV (all three channels) except assassination news over and over.
I could hardly stand it, and I quit watching and shut off the radio as well. I still feel that way about excessive media coverage of current events drama.
I also remember exactly the day MLK was assassinated but that was totally, totally different. And I remember exactly the day all the astronauts were blown up.
Curiously, I don't know what I was doing when the world trade center fell. Maybe by now all my memory space for this sort of thing is full.