In a moment of boredom.

Wuthering Heights - Kate Bush (Wuthering Heights by Emily Bronte)
The Infant Kiss - Kate Bush (A Turn of The Screw - Henry James)
Cloudbusting - Kate Bush (A Book of Dreams - Pete Reich)
Killing An Arab - The Cure (L'Etranger by Albert Camus)
To The Lighthouse - Patrick Wolf (To The Lighthouse by Virginia Woolf)
Love And Destroy - Franz Ferdinand (The Master And Magarita by Mikhail Bukalov or something)
The Statue Got Me High - They Might Be Giants (Don Juan by Moliere)
A Picture of Dorian Gray - Television Personalities (A Picture of Dorian Gray - Oscar Wilde)
Lizzie's Lion - The Mystery Jets (Lizzie's Lion by Dennis Lee)

Also:
2+2=5 by Radiohead references Chicken Licken. Cemetery Gates by the Smiths mentions three famous writers. What A Waster by the Libertines mentions Ulysses by Joyce. And I Could Be Dreaming by Belle and Sebastian has a reading from Rip Van Winkle by Washington Irving at the end.

Can anyone think of any more?