Nthing Hendrix "All Along the Watchtower", Nirvana "The Man Who Sold the World", and Johnny Cash "Hurt". Others I like:
Johnny Cash "Rusty Cage"
Nirvana "Where Did You Sleep Last Night?"
Nine Inch Nails "Suck"
Diamanda Galas "I Put a Spell on You" (the mashup with Jane's Addiction on the Natural Born Killers soundtrack)
Eagles of Death Metal "Stuck in the Middle with You"
Pearl Jam "Last Exit"
Metallica "Whiskey in the Jar" (cover of a cover, technically)
Alanis Morrisette "My Humps" (for sheer comedy value)