No, this is not a bad joke (though she does make my buffer overflow).  Lady Gaga's website was hacked, according to this Mirror piece.

Turns out that very recently a hacker posted a SQLinjection vulnerability on a forum:

When it comes to hacking, even in the entertainment world, data is king.  Although Lady Gaga's statement says nothing financial may have been taken, it's a safe bet that Lady Gaga fans are getting email messages offering exclusive Lady Gaga videos, pictures and music.  But instead, they're clicking on malware.