1986's Black Celebration is, in my opinion, the high point of Depeche Mode's career in terms of artistry (which probably explains its relative tepid reception commercially,) and the finale for that album was the song "But Not Tonight." It was always my favorite on the album, but the reason for that is perhaps kind of odd.
By 1986, Depeche Mode had abandoned any sense of their former "tinkly-bop" synthpop of the type Vince Clark wrote, and were notorious for being extremely dark in nature. Black Celebration was perhaps one of the darkest albums that they've done, before or since. The themes were almost post-apocalyptic at times; the song "Black Celebration" refers to the best we can hope for is to make it through another day of our failed and miserable lives, while "Fly on the Windscreen" is an obvious metaphor. Many of the other songs are more personal in nature, but no less hopeless… which is why the album turning on a dime and ending on "But Not Tonight" is such an interesting choice. Suddenly the cathartic darkness is over, and "But Not Tonight" is an upbeat song, like a ray of hope shining at the end of the CD.
Of course, even outside the context of the rest of Black Celebration, it's still a wonderful track that stands well on its own. It got a single release at the end of Black Celebration's run, but it wasn't really until the Music for the Masses singles started coming out the next year that Depeche Mode started making headway on the charts again.