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Madonna was a guest of David Letterman on the CBS Late Show Wednesday night. She made quite an entrance on the shoulders of the NY Rangers. She talked about her new greatest hits album Celebration and Dave managed to turn the conversation to her fling with Alex Rodriguez.

The Material Girl also touched on the breakup of her marriage to Guy Ritchie and the fact that the eight-year union had the couple living across the pond. Madonna offered by way of explanation, “It was the Bush years…a good time to be out of America.” She had this to say about her chances of marrying again, “I think I’d rather get run over by a train.”

Dave’s staff had done their homework and discovered that Madonna had never eaten pizza before, ‘a cheese thing’, so they made a quick trip next door to a pizzeria where their pre-ordered slices were waiting. Madge made a show of taking a bite of her olive adorned pie that was cheese barren.

Check out more photos and the video below.

Photos courtesy CBS/WENN.