A Madison piercing is a vertical or horizontal surface piercing made between the collarbones, where the neck and chest meet. According to bmezine, this piercing gets its name from a porn star called Madison, who was the first person recorded as having this piercing.
This piercing has all the inherent risks of surface piercings: long time to heal, with high rates of migration and rejection. From what I understand, surface bars or flexible jewellery (such as tygon) can reduce this risk, and straight barbells should not be used.
If you can get hold of a book simply entitled 'Body Piercing', with a black leather-look cover 'pierced' on the 'o', there is an absolutely beautiful black and white photograph of a Madison. Actually, if you're at all interested in piercings, the whole book is worth getting; stunning black and white photography interspersed with quotations from the subjects.