Oh yeah - I do like U2's version of Helter Skelter. Also, Bowie's taken to doing some decent covers on his last couple of albums abd they're all good - Cactus, I've Been Waiting For You, Try Some Buy Some and Pablo Picasso.
A band called The Replicants, consisting of members of Tool and Failure, did a self-titled one-off album of covers, which I highly recommend and has some superb versions. Particularly good are Just What I Needed, Life's a Gas, Cinnamon Girl, Are Friends Electric, Destination Unknown and Dirty Work - I'd include all those in my list of favourites. Details on the album here:
http://www.allmusic.com/cg/amg.dll?p=amg&sql=1 0:8pkxlffehcqe