Among the topics they discussed: Iraq, her supposed feud with Elton John, Elton's charges she's lip-synched, and the Cameron Diaz flap with photographers.
Madonna has recently embraced her spirituality, authored a successful collection of children's books, and moved her family to London.
She told O'Brien one advantage to celebrity life in Great Britain is a polite paparazzi. O'Brien joked that she may want to pass that information on to Cameron Diaz, who recently had a flap with photographers in the United States.
"All that training in 'Charlie's Angels' finally paid off," Madonna said with a chuckle.
One of the shutterbugs claims Diaz hit him twice, something her lawyer denies.
Would Madonna ever do such a thing? "No. No way. No. As if it's gonna change anything. They're just going to demonize her now."
As for her supposed battle with Elton John: "That was a fictional feud."
What about his charges that she regularly lip-synchs during live shows? Is she angry about them? "Not at all. Please, if I start getting mad at people who criticize or poke at me, I'd be permanently mad."
Madonna told O'Brien there's another subject she does take very seriously, and that's the war in Iraq.
"My point of view is that this war is not founded in anything truthful. (But) we're in it so deep. How do we pull out now? How do we go backwards and right the wrongs? And, you know — I think it's gonna get worse before it gets better.
"I voted for Kerry, and I think everybody assumed that. And I'm sad that he lost, but I'm not paralyzed by it. In a way, it's a blessing in disguise. We need to come together, to unite. It's a call to action."
Madonna says she's philosophical about Iraq and President Bush — something she relates to life in general in her latest children's book, "The Adventures of Abdi."
She notes, "This is my way of trying to effect change in the world, by giving children some kind of tools to deal with adversity in their life in a peaceful way, and they grow up one day and become adults and, hopefully, they've held onto those tools."
O'Brien says Madonna is "a very smart woman, and more of a mother now than an entertainer. These children's books - she loves writing them."