The music video to accompany the single was directed by David Fincher, who had previously collaborated on Madonna's "Express Yourself", "Oh Father" and "Vogue" videos. The clip features Madonna playing a high-powered Manhattan executive who has many one-night stands with a variety of men, ultimately being murdered by one of these men at the end of the video. The video features the American actor Christopher Walken, who plays "a guardian angel" to Madonna's character.