For (the French-speaker in) me, it's certainly not her "best" interview, but one of her most memorable appearances for those who saw it live. She appeared on a show in France (called Le Grand Journal) that was filmed just a few weeks after the January 2015 Paris attacks. On the TV set was one of the surviving cartoonists who started crying as he hugged Madonna. Throughout the programme, she expressed herself with such accuracy and empathy (as always). Sometimes she had tears in her eyes as she spoke, and people around her too.
I'll never forget that tender moment (and this long, but very interesting interview), because we were going through a very painful and terrifying time, but she's always been there. Her presence, her words helped many of us to be positive about all these events (same thing in November 2015 and her impromptu concert in Paris).
Otherwise, her interviews from Erotica Era to Confessions Era are among my favorites 💜
