The Dylan and Led Zep songs that I first thought of when I read the thread title were already taken, so, um…
Annie’s Song - John Denver
The Spirit of Radio - Rush
Bohemian Rhapsody - Queen
Iris - Goo Goo Dolls (as mentioned by Dr. Girlfriend, a few seconds faster than me!)
Flagpole Sitter - Harvey Danger
Talking Heads – “Don’t Worry About the Government”
Eno – “Sky Saw” and probably a lot of others
Pink Floyd – “A Pillow of Winds”, “Matilda Mother”, “Flaming”, “Astronomy Domine”.
(An amusing near-miss is their song “Free Four”, which is named after the Cockney-accented count-in, “One two free four”.)
Pretty much every Interpol song. Special props to Leif Erikson, which lyrically has nothing to do with Norse explorers but rather the isolated keyboard parts sounding rather Viking.
My favorite song by The Pipettes is “The Burning Ambition Of Early Diuretics”, or “Burning Ambition” for short. A really great love song. Even the short form doesn’t appear in the lyrics.
“The Last Polka” by Ben Folds Five
“Fred Jones Part 2” By Ben Folds
“Prison Food” by Ben Folds
“Lullaby” by Ben Folds Five
“Brick” by Ben Folds Five
“Hospital Song” by Ben Folds Five
“Narcolepsy” by Ben Folds Five
“Song for the Dumped” by Ben Folds Five
“Summerteeth” By Wilco
“Pieholden Suite” by Wilco
“Another Horsedreamer’s Blues” by Counting Crows
“Up All Night (Frankie Miller Goes to Hollywood)” by Counting Crows doesn’t mention the parenthetical part of the title.