Yes, creativity and madness are often linked. The same characteristics that lead someone to view the world creatively also lead that person to reject the standards by which the world is judged, which can result in a feeling of disconnection other people who surround the creative/mad individual. That's not to say that one should strive for a non-creative mind frame in order to avoid madness; instead, the creativity and pursuant madness should be embraced.
If you think about it, the most creative people in the world have gone mad. I believe that scientific research has proven that madness and creativity are closely linked together. Creative people have a lot of thoughts that go through their mind, causing madness eventually, in a lot of cases.
If you take the time to study past artists I believe it is easy to say that madness and creativity are closely linked. I believe when you consider those that are highly creative it is common to see hints of madness or other mental problems that often surface, but I think this is simply part of being so creative, since the mind is operating in different ways.
Madness could mean any number of things, but if taken to mean psychological disturbance in general then madness and creativity are likely not "closely" linked. The far more likely outcome is that highly-creative persons that also suffered from psychological issues made for more interesting stories than creative persons that were psychologically normal. This creates an issue of confirmation bias.
I think that "madness" is a rather subjective term that shouldn't be used here. Most people who have a creative bent are usually and unfairly judged as being mentally ill. That's usually because people who aren't very creative lack the facilities to understand how the creative process works. I think it's fairer to say that those who succeed in creativity simply got over caring about what the normals thought of them.