I can't necessarily say which will look better on an application (I think that would depend on where you want to potentially do PhD).
Having gone to UW for my undergrad in art history, I can safely say that the professors are great but that Madison and the surrounding areas aren't great in terms of art historical resources. While the Chazen Art Museum is nice (and mostly brand new!), you'd have to go to Chicago for the nearest major art museum (Milwaukee is small and so-so in terms of its collection). If seeing art up close and personal isn't necessary to your research/general needs, rest assured that the Kohler Art Library and general UW library system are amazing. If they don't have something, they'll figure out how to get it for you.
I think UW would be an excellent program to do your MA. I wouldn't recommend it for PhD just because I know that it generally takes a long time to complete and the fact that several professors there are likely to retire within the next 5-7 years. Being a state school, it's never clear if there will be funds allocated to re-hire for certain areas and specialties or if they will plug that money elsewhere. It's an unfortunate reality, but something you should be aware of in the long run.
Another thing I would consider is where you would like to do a PhD in the future. Creating a list of potential schools might make it easier to select an MA program. *Generally*, East Coast schools are likely to know more about Amherst's program than Madison's. Midwestern schools *generally* seem to have a nice camaraderie amongst one another. Also, maybe consider reaching out to potential advisors at UW and Amherst to see if they 1) have any friends at other at your potential PhD programs and 2) where their former MA students have been successful at PhD programs.
Having only a BA from Madison, I applied successfully to several PhD programs (mind you, I was also rejected from a fair few). I think part of my success was having professors and letter writers who knew professors at the schools I was interested in. That never hurts!
I love Madison, but maybe instead of looking at how UW and Amherst will look on a CV, it would probably be a good idea to look at the potential of both as a gateway to your preferred PhD programs (even though your list will invariably change over the next 2 years). Depending on where you're interested in going in the future, the university on your CV might depend on the people looking at it. It's all in the perspective of the reader.
How's that for a non-answer.
If you have any questions about the Madison Art History department feel free to message me! Mind you, I was only an undergrad there, but I spent most of my time lurking about the AH building.