I love a good theme song. I'd have to say "Everything's Thermal" by the Thermals is my favourite. And although they're not always the same thing, songs named after the band have a similarly pleasing symmetry. The obvious one is Black Sabbath by Black Sabbath, the first song on Black Sabbath, plus:

Motorhead by Motörhead
Titus Andronicus by Titus Andronicus
Crystal Stilts by Crystal Stilts
Let's Wrestle by Let's Wrestle
Wilco (The Song), from Wilco (The Album), by Wilco

Any more?