The clean, blue lake and rocky bluffs it left make Devils Lake one of the most scenic spots in the state, and a great place to mountain bike. Devil’s Lake State Park is a state park located in the Baraboo Range in eastern Sauk County, Wisconsin. It is the biggest state park in Wisconsin. It is around thirty-five miles northwest of Madison, and is on the western edge of the last ice-sheet deposited during the Wisconsin drift. This 9,217-acre state park is known for its 500-foot-high quartzite bluffs, which was created by a glacier depositing terminal moraines that plugged the north and south ends of the gap in the bluffs during the last ice age approximately 12,000 years ago.