What little I've heard of 'em is pretty cool. I had a friend who was always jamming their stuff in his car.
I remember years ago their record label had some sort of contest where fans could come up with ideas for what the initials "KMFDM" stood for, the funniest ones would win prizes. The two that cracked me up the most were "Kylie Minogue Fans Don't Masturbate" and "Kill Mother F**king Depeche Mode."
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"If you're a false, don't entry, because you'll be burned and died!"