Pink Floyd's Comfortably Numb by the Scissor Sisters. Not just to annoy the people who think it is blasphemy, but actually I do think it is a hell of a lot more enjoyable than the turgid ego-belch of The Wall.
In a similar vein, I like some of Nouvelle Vague's covers - in particular their version of Depeche Mode's I Just Can't Get Enough, though they do get a bit wearing after a while.
On a seasonal note, I also think that Kylie Minogue's Santa Baby is really rather good, and on CD at least better than the more famous Eartha Kitt version, even though I have no doubt that Eartha Kitt (RIP) could have eaten Kylie alive.
IMHO, the best ever cover version however is without doubt Love's mid-60s garage-punk stomp through Bacharach's Little Red Book.