Back story: This happened in 1994, Letterman at the time was constantly making jokes about Madonna's sexuality and her sleeping around. Madonna plans to come on as a guest and embarrass him on his own show by being extremely bitchy and non-compliant. Letterman never breaks frame and stays funny hurling lines back at her. Several examples of agree and amplify. Letterman ends up getting the crowd behind him and she makes a fool out of herself.

It's a bit long but pretty entertaining to go through both parts

Part 1

Part 2