If you've lived long enough, you might have experienced being emotionally frozen, stagnant, stuck. Madonna expresses this state of being so eloquently and the need to break free in order to love and be loved in this creative and thought-provoking music video with great cinematography.
This was Madonna's deep, introspective period, I believe.
When I first saw "Losing My Religion" by R.E.M., I just finished reading Gabriel Garcia Marquez's "A Very Old Man with Enormous Wings" and I read that somewhere R.E.M. took the scene from the story in their iconic video.