First up, BRING CASH. They don't accept credit or debit. Cash only.
I'm from St. Louis, which has a ton of donut shops all over the place. We probably have more donut shops than churches or bars . . . that may be an exaggeration, but you get the idea, we have a ton. Many of them are older shops, built in the 1950s or '60s, who have weathered the decades and continue to put out mouthwatering pastries with the same recipe they've been using from the start.
Long's in Indianapolis reminds me of such a place. Genuine old-school vibe with the big, thick diner-style doors at the entrance, and a line that moves pretty quickly, even when it's extended out the door. We got 6 donuts, and every single one of them was perfection. These are donuts with the perfect taste and texture, and they're so fresh that they'll last for a couple days in the box and still be good. We had the chocolate covered cake donuts (not too heavy, but the perfect amount of crumbiness), the blueberry cake donuts, (absolutely superb), and one of the apple fries (legendary apple cinnamon taste), and a maples covered cake donut, which my wife loved.
The best part is that the prices aren't jacked up like at gourmet donut shops -- this will only set you back what you might expect to spend at a local grocery store for donuts. Bring cash, though, because they don't do credit cards.