Running with Sissors, Weird Al
The Crow Soundtrack, Various Artists
License to Ill, Beastie Boys
Damn near everything by NIN
Tales from the Crypt: Demon Knight Soundtrack, Various (although I could do without Megadeath. Bleach.)
Little Earthquakes, Tori Amos
Under the Pink, Tori Amos
Will add more as they occur to me.