My fave has always been the soundtrack for The Crow. It had Stone Temple Pilots, The Cure, NiN, Pantera and many more. Best of all, the album flowed, and it did it so well that you could believe that it was done on purpose, a collaboration. But it totally wasn't. It was a great album.
I'm really enjoying the music on American Horror Story Coven, there was lots of Stevie Nicks. On the new Freakshow series although it is set in the 1950's it has songs from Lana Del Rey, David Bowie and Nirvana.