Jack white went out with Marcie Von Bondie
Karen O and Angus from Liars
Ben Gibbard is engaged to Zooey Deschanel (kinda a musician)
MIA was with Diplo for a while
Simon from Klaxons and Lovefoxxx
The Kills dated for a while many years ago
Alex Kapranos and Elenaor Friedberger
Ryan Jarman and Kate Nash

Any more for any more? No band to big or small...