the kayo dot live show

Don't want to turn this into a what-band-did-what-nice-cover thread, but on that note Type O Negative, a band I'm not particularily fond of covered Sabbath's Paranoid very well. Before hearing that one I was of the same oppinion as FuSoYa. Tori Amos did some decent covers in her recent album also. Depeche Mode, Tom Waits, Slayer.

As to bands playing live shows and doing covers, I'm not too fond of that either, but The Dillinger Escape Plan just breaking out in a cover of a Justin Timberlake song, complete with moonwalking solo and everything has to be appreciated if only for the comedic value.
 
The Cardigans' cover of "Iron Man" = best cover ever.

It has like a totally different sound. I even like it a lot better than the original.
 
Type O Negative has a knack for doing some interesting covers, actually. Like a cover of Seals and Crofts' "Summer Breeze" and a medley of 3 Beatles songs.