Trainspotting is quite good, as is Until The End Of The World (shame about the movie though)
Never seen the movie, but one titled Best Laid Plans has a good soundtrack, Massive Attack, Neneh Cherry, Craig Armstrong, Mazzy Star and Patsy Cline, and apparently The Jackel has a stellar line up as well.
Guilty pleasures for me are the soundtrack to John Waters' mainstream flicks Hairspray and Cry-Baby, full of short and snappy songs.
Any of the Twin Peaks soundtracks are okay by me, still played a lot after all of these years.
"regular" soundtrack faves (those with no loose collection of songs) included The Last Emperor, The Thing, and Barry Adamson's (ex-Magazine and Bad Seed) score for Delusion.