If you want to get into the Madonna groove, i'd recommend these
1. Essentials:
Hits: The Immaculate Collection (1980s), GHV2 (1990s), Celebration (2000s), Something To Remember (ballads)
Films: Truth Or Dare (classic rockumentary), Desperately Seeking Susan (peak of teen Madonnamania), Evita (role of a lifetime)
Tours: Blond Ambition (iconic), Confessions (acclaimed), Rebel Heart (most recent)
Misc: Her official videography
2. The Next Best Thing
Discography: 13 studio albums + 3 soundtracks, for starters
Good Movies: A League Of Their Own, Dick Tracy, I'm Gonna Tell You A Secret
Tours: At this point, there's 7 more you can watch. Personal favorites? The Girlie Show, Drowned World and Sticky & Sweet
Misc: the Sex Book + the iconic VMA perfomances (1984, 1989, 1990 & 2003)
3. Deeper And Deeper
Misc: Unreleased songs + Remixes + Interviews + Books (I would recommend Madonna: Album by Album by Caroline Sullivan)