Christopher Rosa from VH1 listed it as one of Madonna's 10 Most Underrated Videos.
The blue-green tinted music video was directed by Matthew Rolston in Malibu, California and features actor Goran Visnjic as her love interest.
The scenes showing Madonna walking alone on the beach was an homage to actress Joan Crawford in the 1946 film, Humoresque.
Lyrically, the track talks about how free and empowering saying good-bye or ending a relationship can feel.
The song attained commercial success across Europe, reaching the top 10 of the charts in over nine countries, including Austria, Germany, Italy, Spain and the United Kingdom, while in the United States it reached number 11, becoming Madonna's 37th top 20 hit and her seventh-highest debut at the time.