Sheila E. — short for Escovedo — became friendly with Prince after one of his shows in 1978, before either of them were very famous. After Prince hit it big in the early ‘80s, Sheila E. was one of the first ladies to make music with him. He wrote her first hit, “The Glamorous Life,” and she went on the road to open for him on his Purple Rain tour, where they fell in love. As she wrote in her memoir, he mouthed a marriage proposal to her on stage somewhere in Europe in 1987, although they never made it down the aisle. But there’s no bad blood. After his death, she tweeted, “My heart is broken. I love you!” (Photo: John Shearer/WireImage)