It's hard to believe you're in the midwest because of the all the rugged granite. This part of Wisconsin was untouched by the most recent glacier. It's a dream for birders, wildlife lovers, geologists, hikers, and climbers; and the sparkling lake is one of Wisconsin's finest.
Devil's Lake State Park is one of the few places where rock climbing is actually condoned. While they don't groom for climbing, park workers will give you a climbing map. Ask for both a trail map and a climbing map, so you can hike to the best places for watching the climbers.
If you want to climb, go to a store called Sport Haven in Baraboo. It's right on the way to the park at the intersection of highways 12 and 33. You can buy all the climbing gear you need plus a book called "Climber's Guide To Devil's Lake" by S. O. Swartling. Might want to call ahead and order it because they're frequently sold out. The ISBN of the book is 0-299-14594-8.