Madonna will celebrate American Independence Day by kicking off the UK leg of her Drowned World tour.
Phone lines have been swamped by calls when seats initially went on sale with almost 100,000 going in just six hours.
Tonight's show is the first of a six-night run at Earl's Court in west London, with 16,000 fans officially paying between £40 and £85.
However, many have paid far more. Internet auctions have seen tickets change hands for in excess of £500 each.
Madonna has not toured in the UK since her Girlie Show gigs of 1993.
The star will pack the shows with songs from her last two albums Music and Ray Of Light, as well as dip into her back catalogue for tracks like Holiday and La Isla Bonita.
Die-hard fans paid hundreds of pounds in November last year for tickets to an exclusive one-off club date which Madonna performed at London's Brixton Academy.
She has said of the show: "It's a theatrical presentation of my music. I've taken inspiration from many things - martial arts, flamenco, country and western, punk, rock 'n' roll, Butoh dance and the circus."
Audiences in Europe have already seen her stunning performances, featuring the superstar showing off her abilities on the guitar, which she has studied intensively for the past eight months.
Madonna goes through a variety of costume changes and during a geisha-style section of the gig she flies across the stage.
During one part of the show Madonna rides a mechanical bull which was blessed by a local priest when it was built in Cheyenne, Oklahoma.