Best use of a song in a movie...

[KilgoreTrout]

Joe Walsh's "World of Illusion" is a great choice for opening credits in the 40 year old virgin.

Wagner's Ride of the Valkyries in Apocalypse Now.

The cover of that Tears for Fears song at the end of Donnie Darko is pretty good too. edit: the name of the song is Mad World.

Also, the portugese versions of Bowie tunes in Life Aquatic, especially Queen Bitch, are good.

Then there's the classic "More than This" in Lost in Translation.