In "Wildfire," when they group is driving away after leaving Jim to die, as per his request, the wonderful "Sunshine (Adagio in D Minor)" from Sunshine plays, presumably as a Shout-Out to director Danny Boyle, who also directed 28 Days Later.
The preview for "Bloodletting" uses Johnny Cash's "I See A Darkness" to a truly haunting effect.
In "Nebraska", Clutch's "The Regulator" is used for a particularly haunting effect over the final scene of burning the barn Walker bodies.
Wye Oak's "Civilian" is used in the main trailer for Season 2, as well as the episode "18 Miles Out" when Rick is driving back to the farm at the end of episode.
Kari Kimmel's "Black", for the Season 3 debut trailer. Fight the Dead. Fear the Living.
Tom Waits' Hold On is used, and sung by Beth Greene, at the end of "I Ain't No Judas".
"Alive Inside", first played in the pharmacy office in Macon, plays during scenes with Clementine. A moving, crushingly sad version is played during the final scene when Lee tells Clem his final words.
"It's Over", which has played in major sad moments since Episode 2, particularly when leaving the St. John Dairy, when Kenny and Katjaa are deciding what to do with a bitten Duck, and when the player drops Ben to his death.
"Armed With Death", played only during Lee's potentially one-armed rampage through the streets of Savanna, which are infested with a horde of walkers.
"Take Us Back", by Alela Diane in the credits for the last episode of season one. It certainly punctuates the emotional roller coaster of Episode Five.
"Hope", which plays during some of the more uplifting scenes, such as when Carley flirts with Lee in Episode 3, where it is first heard, or when Lee's group discovers a functioning boat in Episode 4.
"In the Pines", which plays over the end credits of Season 2, Episode 3.