Preheat oven and bake biscuits according to package directions.
Meanwhile, melt butter in heavy large skillet over medium-high heat. Add mushrooms and sauté until brown and soft, about 6 minutes. Add flour and thyme and stir 1 minute. Whisk in broth, then Madeira. Boil until mixture thickens to gravy consistency, whisking occasionally, about 8 minutes. Season to taste with salt and pepper.
Split or cut open 4 biscuits (save remaining biscuit for another time; can be reheated). Place 4 biscuit halves on each of 2 plates. Spoon gravy over.