We have been coming to Devil's Lake since I was a little kid. The hiking is great and there are many trails. The two beaches are decent, and there's a snack bar near the south end of the beach.
While we live closer to Gov. Dodge than Devil's Lake, the drive is worth it to go to Devil's Lake. Far better than any beach/park in Dane County.
The only negative is that it can get busy at times, and parking can get tight. If you want to camp, you'd better plan ahead.