While "Mad World" in Donnie Darko is my favorite, I like this one quite a bit as well: [video=youtube;tlr9mc54Gec]http://www.youtube.com/watch?v=tlr9mc54Gec[/video]
Oh wow, and I can't believe I forgot this one. So well done: [video=youtube;re-6eOhrejE]http://www.youtube.com/watch?v=re-6eOhrejE[/video]
And, while there's no YouTube video of this, I really love the use of Blondie's "Picture This" in Timecrimes. It plays three or four times over the course of the movie, because it's a time-travel movie and it's always on the radio each time they travel back to that spot, even though they're seeing it from vastly different perspectives. Works nicely.
Don't know if this exactly fits the theme, but it's one of my favorites. Simple Minds- Don't you (forget about me) The Breakfast Club - YouTube
Although not quite as awesome as All Along the Watchtower in the season three finale of Battlestar Galactica, which might top my list if TV shows were included.
This was my favorite movie when I was a kid. I don't think I had any idea how creepy it was, but this song definitely stuck with me: [video=youtube;nOeK0Ig-H9g]http://www.youtube.com/watch?v=nOeK0Ig-H9g[/video]