My all time favorite song is "Estranged" by Guns N' Roses. I could give you a big list but it would turn into GN'R's discography.
Another of theirs worth mention is "T.W.A.T. (There Was A Time)." It's on the new CD, so it's not officialy out yet, but a demo leaked and it's already one of my favorite songs ever.
A few others:
Comfortably Numb - Pink Floyd
Hey You - Pink Floyd
Gimme Shelter - The Rolling Stones