Secretary (US, with Maggie Gyllenhall) and Romance (France, with Caroline Ducey; known in the US as Romance X) are both about a journey into a bdsm relationship (spanking, bondage) and in both films it's seen as liberating, a kind of self-discovery and steady point in a harsh world.
Secretary leans toward a rom-com, at some points it looks like a parody of the rom-com genre, but it's a warm and teasy movie and very turning on at some points; interesting people too. Romance is more serious, more "artsy", more hardcore bdsm (great bondage scenes and, before she gets there, a long, vivid and nicely shot sex scene with none other than Rocco Siffredi - allegedly that was "real bed-up" all the way).
The masquerade orgy scene of Kubrick's Eyes Wide Shut suggests bdsm too, at any rate the women are naked, apart from their face masks, fantastic headgear and, for some of them, fig leaves, and submittting to being used by initiated strangers - their body language shows that very clearly. Beautifully shot and with a powerful erotic feel about it, but not really a "hard-on movie" in the restricted sense - the entire film merits being seen (over and over) and thought about for what it brings to the surface about sexual drive and about sex in our time.
The Madonna one is called Body of Evidence I think - haven't seen it - or did she direct one of her own later? Lots of movies contain brief bdsm scenes of course, often it's more like a spice than any serious facing with the reality and the ideas - I've noticed it's gotten really fashionable in the last ten to twenty years to use bdsm and/or incest if you want to suggest somebody is "crossing the bounds of the permitted, of ordinary morals" (examples: Bertolucci's The Dreamers, Cronenberg's Videodrome) Of course, lots of cheap thrillers and serial killer movies have "good bondage and psycho scenes" too, but that's not it...
Oh yes - Belle de Jour (dir. by Luis Buñuel, France, 1967) with the dazzling Catherine Deneuve. Too good to describe even though it doesn't really explain much about why she's into it. Get it, steal it, watch it!