Kyo of Dir en grey regularly cuts himself onstage with various implements (most infamously a razor at the Wacken 2009 performance), fishhooks his mouth, and otherwise self-harms onstage. Generally he limits this to his performances outside of Japan, but once did it in Japan - at a memorial show for hide along with miming choking himself.
"Bad Habit" by The Dresden Dolls is about being addicted to self-mutilation (cutting, with lyrics like "Happiness is just a gash away"), its causes and its consequences.
Eminem's Slim Shady character is constantly trying to mutilate himself and commit suicide in absurd ways, especially in Eminem's early output.
In "Low Down, Dirty", Slim tells us, "you see this bullet hole in my neck? It's self inflicted."
At the beginning of "My Name Is", Slim announces he's going to put nails through his eyelids in front of a group of children cheering him on, and at the end he puts on a bulletproof vest and shoots himself in the head.
At the beginning of "Role Model", Slim announces he's going to drown himself and you should copy him. He then mutilates himself painlessly with a chainsaw in the second verse, then ties his nuts to a rope and jumps out of a tree in the final hook.
In "Cum On Everybody", Slim gets bored and decides to nail his foot to the bottom of his car.
In "I'm Shady" he stabs himself and shoots himself in the head to see what it feels like.
In "Oh No" he chops off one of his legs because he has a cramp.
The title character in Eminem's "Stan" mentions this: "Sometimes I even cut myself to see how much it bleeds, it's like adrenaline, the pain is such a sudden rush for me". Marshall's aborted letter back to Stan at the end makes a rather insensitive comment about it.
Outside of Kayfabe Music, Eminem has struggled with self-harming behaviour and suicidality. On his right wrist, he has a tattoo saying "slit me".
The Evanescence song "Tourniquet" note Actually a cover of a Soul Embraced track is very suggestive of a struggle with cutting, leading to accidental or intentional suicide necessitating the titular tourniquet.
I tried to kill my pain But only bled more So much more I lay dying And I'm pouring crimson regret and betrayal.
Self-harm is referenced in a few Flyleaf songs, such as "Red Sam", due to Lacey's past self-harm.
KMFDM's "Never Say Never" is either about this or a drug addiction.
There are numerous references to self-harm in the Manic Street Preachers' music (not surprising, given former songwriter Richey Edwards was a self-harmer; see Real Life below). The narrator of Yes feels that he can't scream, so he resorts to hurting himself to get the pain out. In Die In The Summertime the narrator reminisces about about a time before he started hurting himself, without "ruining lines".
Dead of Mayhem used to include Self Harm in live shows.
This is referenced in the first line of "The Last Night" by Skillet. It's about a man whose friend has demeaning parents who blame her for their problems and consider her depression to be "just a phase":
Several songs by punk-rock band The Used are about self-injury. Their second album, In Love and Death, is particularly preoccupied with it, perhaps due to Creator Breakdown, as much of the album was written in response to the death of lead singer Bert McCracken's fiancee.
"Hero" by Violet UK references self-harm in a way that is very emotional for an anime theme song.
"Breathe Me" by Sia is about someone who self-harms and is asking for help.
I'll be god I'll be god I'll be god I'll be god, today Hold my head under that bath and breathe away Slit my wrists and watch that blood evaporate Being this godly can't be good for Ana's safety Ana hear me.
"Under The Knife" by Icon for Hire is about this and discourages listeners from this route. According to some, this song helped them.
"Razorblade" by Blue October is about a person who cuts themselves after being sexually abused as a child by their uncle who's also a preacher.
"Narben" by Subway to Sally is about cutting yourself and feeling elated and comforted by the sight of your own blood.