Crowning Music of Awesome: The Head Over Heels by Tears For Fears scene.
Also, the (in)famous " Mad World" cover.
Love Will Tear Us Apart by Joy Division, anyone?
"The Killing Moon," by Echo and the Bunnymen.
"Under the Milky Way," by The Church.
"For Whom the Bell Tolls," by Steven Baker and Carmen Daye (the song played in the theater).
Honestly, most of the soundtrack counts.
This movie has two. When he tells Ms. Farmer to "forcibly insert the lifeline exercise card up her anus" and when he calls Jim Cunningham "the fucking antichrist."
Donnie's hilarious monologue about the sexual habits of Smurfs, concluding with the immortal "What's the point in living... if you don't have a dick?"
Him laughing as a jet engine is about to crush him, especially as he's repeated stated he's scared of death...
When Frank gets Donnie to Burn Cunningham's house down, the result gets Cunningham arrested when child porn was discovered.
Dr. Monnitoff telling the bullies to get out, when they taunt Gretchen over her mother's stabbing.