Some ones I like, not distinguishing between songs written for films and ones used in them.... :
*Llorando (Crying)- Mulholland Drive
*Save Me, Aimee Mann (Magnolia)
*Burn, NIN (Natural Born Killers)
*Alone, Colin Newman (The Silence of the Lambs)
*Innocent When You Dream, Tom Waits (Smoke)
*In Dreams, Rou Orbison (Blue Velvet)
*TB Sheets, Van Morrison (used as a recurrent theme in the patchy Bringing Out the Dead)
*Mr Soul, Buffalo Springfield (Shampoo)
*The Killing Moon, Echo & the Bunnymen (Donnie Darko)
*Things Have Changed, Bob Dylan (Wonder Boys)
*Lust for Life, Iggy Pop (Trainspotting)
*any of the Bowie tracks used in 'Christiane F.'
*Nag Nag Nag, Cabaret Voltaire (Me Without You)
*Stigmata, Ministry (Hardware)
*Til the End of the World, Nick Cave & the Bad Seeds (Until the End of the World)
*The Stranger Song, Leonard Cohen (McCabe & Mrs Miller)
*Cat People (Putting Out the Fire), David Bowie-Giorgio Moroder
*Fight the Power, Public Enemy (Do the Right Thing)
*Just Like Honey, The Jesus & Mary Chain (Lost in Translation)
*Spring Rain, The Go-Betweens (Something Wild)
*The Old Main Drag, The Pogues (My Own Private Idaho)
*The Weight, The Band (Easy Rider)
*Memo from Turner, Mick Jagger (Performance/Goodfellas)
*Baba O'Riley, The Who (Summer of Sam)
*Come in No. 51..., Pink Floyd (Zabriskie Point)
*Where is My Mind?, Pixies (Fight Club)
*The Heart's Filthy Lesson, David Bowie/Closer, NIN&Coil (Se7en)
*These Days, Nico (The Royal Tennenbaums)
*Sweet Emotion, Aerosmith (Dazed & Confused)
*Tiny Dancer, Elton John (Almost Famous)
*Oh Sweet Nuthin', The Velvet Underground (High Fidelity)
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"See you on doomsday!"- Sadegh Hedayat's suicide note