Madonna had been rumoured to appear on Saturday Night Live SNL since the end of September. It turned out, tonight, that the rumours were true. The diva made a guest-appearance on the show alongside the two main stars promoted for the Saturday October 3, 2009 episode, Lady GaGa and Ryan Reynolds.
See above for promotional stills Lady GaGa did to promote the show. Below are the videos from SNL/ NBC, promoting the episode of SNL Oct. 3, 2009 in which Madonna and Lady GaGa appeared together, and their skit.
Lady GaGa and Ryan Reynolds SNL video in which they promote their episode.
Madonna SNL and Lady GaGa Deep Dish SNL joint skit video Oct. 3, 2009 show.
[UPDATE: Lady GaGa's first and second musical performances for the week's SNL]
Lady GaGa first musical SNL performance of Paparazzi on the Oct. 3 show.
Lady GaGa performing a medley of her hits, including new song Bad Romance.
Images via NBC/ SNL. Videos via Busy Bee, Neon Limelight and NBC/ SNL.

[...] Lady Gaga & Madonna do the SNL catight thing. (AG) [...]
I actually caught this whole episode by accident. The skit in question was WEAK. Seriously weak.
Also, it became clear during Lady’s performances that she wears drag queen outfits to compensate for the fact that she can NOT dance. Sad but true.
I think pretty much the whole of Internet Land agrees with you. Even E! Online said in those word it was one of the lamest skits ever. Also, I noticed GaGa can’t dance worth a damn as well.
I saw this and knew it was Gaga (mainly becuse she was the musical guest), but wasn’t sure if it was really her…until I saw her freakishly muscular arms…lol
GaGas performances are just getting weirder and wierder, that’s for sure
The performance was the same as at the VMAs and it wasn’t that interesting the first time I saw her do it.
Both were fascinating!! And Lady Gaga CAN dance, and absolutely well! The way she moves is seduction itself.
The only thing interesting about this skit was lady gaga’s thong… other than that not much.