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Jefferson and Madison were the "centrists" in the Federalist vs. anti-Federalist divide. This is true even though Madison, a Federalist, was one of the co-authors of the Federalist papers (along with John Jay and Alexander Hamilton), while Jefferson was an "anti-Federalist" who helped form the "Republican" party that Madison later joined. If you imagine the divide as a football field, Jefferson was on one side of the "50 yard line" and Madison was on the other side. In this regard, they were closer to each other than either with the fellows on the same side of the divide.
For instance, Madison was the author of the Bill of Rights to the Constitution that substantially limited federal government powers (even to this day), while leaving some rights to states and individuals, thereby winning important anti-Federalist support for the Constitution in the large holdout states of Virginia and New York. On the other hand, Jefferson later proved to be enough of a "Federalist" to conduct the Louisiana Purchase without specific authorization from the individual states (which would have taken too much time).
Together, Jefferson and Madison formed what later became "Jeffersonian Democracy," even though they came at it from opposite sides. Although a Virginian, Jefferson feared the division of the United States more than anything else (unlike Robert E. Lee). Both he and Madison wanted a Federal government of "medium" power, neither overweening nor hobbled.
Even so, Madison seemed like a strange choice of Jefferson's successor to early Republican "purists." The irony is that the later Republican party (of Lincoln) took on the Federalist (strong central government) mantle, while what was initially the Republican party was retroactively renamed the Democratic-Republican party, because most of its adherents later became "Democrats."