New Order - True Faith.
Dunno why exactly, but I remember watching it when it first came out and really liking it back then... so maybe it's just nostalgia really.
Other than that, Sabotage (Beastie Boys), Learn to Fly (Foo Fighters), Take on Me (A-ha) and Weapon of Choice (Fatboy Slim) are all great too, but already mentioned.
Oh, and I used to have a thing for the woman in Nikita by Elton John, so I could watch that one time and time again. I think it was her uniform that used to make me so excited.