Another mention for Aimee Mann's 'wise up' in Magnolia. Always thought it was an incredibly brave and very unusual thing to virtually stop the movie halfway through and have all of the characters singing...controversial, probably not to everyones taste, but I love it.
http://uk.youtube.com/watch?v=mrlGprdBRyc&feature=related
Strong As I am by the Prime Movers - from Michael Mann's Manhunter. Love this whole scene and the song fits it perfectly. There are probably loaRAB of other examples of great music in Mann's movies, he has a whole team of researchers that spend months finding specific pieces of music for certain scenes. He does use a lot of sourced music as opposed to composes soundtracks, but I think he does it very well.
http://uk.youtube.com/watch?v=a4nIJP6Ggr8&feature=related
Others I can think of is the opening robbery scene in Thief (Tangerine Dream).
http://uk.youtube.com/watch?v=gONuYl0ABrA
The opening music from The Keep where the german convoy is driving into the stronghold...TD again.
http://uk.youtube.com/watch?v=H2242Bgi-pE&feature=related
The instrumental version of Sympathy For The Devil in Jericho Mile.
http://uk.youtube.com/watch?v=-itd1ZJxrRY
Force Marker, the piece of music used during the robbery scene in Heat...it reall conveys a sense of urgency and menace to the scene. In fact I think that is his best soundtrack...it's very eclectic and diverse.
http://uk.youtube.com/watch?v=E1RRu1DRtXg
The main theme from Last Of The Mohicans. One of his rare properly scored movies, but a great, lush, romantic and cinematic score.
http://uk.youtube.com/watch?v=Wp9lnh_BOjg
His later movies such as The Insider, Ali and Collateral don't really have any standout musical sequences for me though.