My program director just said to me that "every radio chick" he ever knew loves Nick Cave and he had no idea why. I think it has something - a lot, actually - to do with the Wim Wenders' generational touchstone, Wings of Desire. Cave and band's primal performance in a Berlin night club is heavily featured, in a pivotal scene that comprises a good portion of the film's emotional climax.
There are some literary characters that are so universal, anyone with the right set of gear can imagine themselves in that character's shoes. I think just about every performing woman who ever saw Wings of Desire had several moments where we could identify with Marian's jitters and fears as a trapeze artist. Performing without a net. It's one of many underlying themes in Wings of Desire, from Marian's gig, to Damiel's plunge from the Wall and transformation from heavenly angel to newly human.
The character of Marian transforms from a tragic loner to a confident, confrontational woman while Damiel, who she's never met but knows is with her, wanders around the club looking for her, finally settling to wait at the bar. Before she goes in there to meet Damiel, she loses herself in the raw power unleashed in "From Her to Eternity."
Or, it could just be that we women like dark, sexy music.