Donut Stop in Amarillo has the best donuts...bar none.
In Lubbock, I'll have to agree with techaggie (howdy!) about Daylight Donuts.
Krispy Kreme is overrated, but everyone in the south (Alabama, Florida, Georgia) swears by them.
And, I'm with WhataMaroon88, I didn't know what a kolache was until I went to college at A&M. Its just not our thing.