Pertubator, Scattle, M O O N, Sun Araw (Hotline Miami, 2012)
Anamanaguchi (Bit Trip Runner / Scott Pilgrim vs The World, 2010)
Cage the Elephant (Borderlands, 2009)
Faunts (Mass Effect, 2007)
Lockjaw, Lifeseeker, The Evolutionaries (Dead Rising, 2006)
Breaking Benjamin (Halo 2, 2004)
KMFDM (Test Drive 5, 1998)
Missing a few for sure from music, sports and racing games...but there's too much there, man, too much.
These are the ones that stood out for whatever reason. Especially the Mass Effects credit theme, due to it being the only thing that had lyrics in the game if I am remembering it correctly.
Honorable mention goes out to Alan Wake (2010) for containing Roy Orbison (In Dreams) and David Bowie (Space Oddity). I say this because I've been a listener of those two for years and was pleasantly surprised to hear them in it. Now if only it could have had Blue Jay Way by the Beatles...