I’ve empirically determined that I really like bands that cover Personal Jesus. The original by Depeche Mode is good, but there have been some great covers:

• First, I’ve always been a huge fan of Marilyn Manson’s covers. Everyone knows his cover of the Eurythmics’ Sweet Dreams (from Smells Like Children), but he’s also done great versions of Screamin’ Jay Hawkins’ I Put a Spell on You (from Lost Highway (1997 Film)), Soft Cell’s Tainted Love, and Personal Jesus (both on Lest We Forget: The Best Of).
• Gravity Kills has an awesome PJ cover on their Superstarved album. Alternatingly trippy, raspy, and stompy (in that MM Beautiful People way), GK does a great job of making it their own.
• The late, great Johnny Cash blew me away with his covers of PJ and Nine Inch Nails’ Hurt (from Downward Spiral) on American IV: The Man Comes Around.
• Finally, my sister just got me Lollipop Lust Kill’s My So Called Knife from my Amazon wishlist. While the cover isn’t as strong as the others, it’s still enjoyable, and the rest of the album is really good.