They don’t list them in the credits, dammit!
Anyone?
This site features in-depth information links about political and cultural references made in each episode (Go to “Information Type” and then “Information Links”). I checked several episodes that I knew had songs I recognized, and they were mentioned along with the artist and a link to the lyrics. Can’t vouch for every music reference, but it seems pretty thorough (they also list classical music, Shakespeare quotes, and a lot more).
There are CDs on the market with the Sopranos songs on them. The one I have is a two CD set with the first couple of seasons on it.
The HBO Web Site has an episode guide that lists, among other things, all the songs played in each espisode.