Prior to the Ringling Brothers Circus merging with Barnum and Bailey's, the Ringling Brothers Circus used to winter at the location of the museum. Most of the museum is housed in buildings used by the Ringling Brothers.
Every year around the 4th of July, the Circus World Museum also loads up their circus wagons onto a train to Milwaukee.
I recommend taking a picnic lunch. The food served their is pretty lousy and not very reasonably priced. There are picnic tables surrounding the grounds, or bring a blanket or portable table and have your lunch besides the Baraboo river.