Anyway, if you are a closet-Madonna fan (not that Last.fm really allows you to be a closet fan of anything) and are into things more goth-industrial, I have a treat for you. (These were actually released years ago but I've only just re-discovered them.)
It's Virgin Voices, a compilation by goth-ish label Cleopatra Records that features loads of great gothic/industrial/80s groups. The covers are mostly great and by alot of groups you wouldn't expect to be paying homage to Madge.
Personally, the standout tracks are the ones by The Voluptuous Horror Of Karen Black (one of my favourite and most underrated New York bands), Bigod20, Rosetta Stone and KMFDM. There's a few disco-diva-ish ones that don't quite fit (Loleatta Holloway on a goth compilation?!) but, I guess that's the nature of compilations.