Also, Sad Songs and Waltzes by Cake, which refers to itself and is both a sad song and a waltz:
I’m writing a song all about you
A true song, as real as my tears
But you’ve no need to fear it
'Cause no one will hear it
Sad songs and waltzes aren’t selling this year
Chicago’s “25 or 6 to 4”
Fagjunk Theology: Not just for sodomite propagandists anymore.
Damn, thought of another old one:
Garden Party by Rick Nelson
It tells how he got booed at a concert at Madison Square Gardens.
“This Song Has No Title” by Elton John and Bernie Taupin
This song has no title
Just words and a tune
And does James Brown’s “Sex Machine” count for when he asks the band, “Should we take it to the bridge?”
How about Joe Jackson’s new version of “Hometown,” where he sings,
“And when the music stops”
[the music stops dead, followed by a long pause]
“I seem to hear a distant sound . . .”
That same device is used in Belle and Sebastian’s “Like Dylan in the Movies”:
Music stops, pause.
Another Pulp song is “The Fear”:
“So now you know the words to our song.
Pretty soon, you’ll all be singing along.”
Then there’s “Tribute” by Tenacious D, and “Anthem” by Phantom Planet, which are songs about how cool the songs are.
See also: “Please Play This Song on the Radio” by NOFX.
“Too Sexy” by Right Said Fred.
The last line is “I’m too sexy for this song” – then, of course, it stops dead!
A sad sang, a waltz, and a song written by Willie Nelson.
Well, there’s Tom Paxton’s Ballad of Spiro Agnew:
“I’ll sing of Spiro Agnew and all the things he’s done…”
(Sorry about breaking the rule about printing the entire lyrics, but I hope the mods will make an exception for this one! 
)
David Bowie’s “Five Years”:
“I think I saw you in an ice-cream parlor,
Drinking milk shakes cold and long.
Smiling and waving and looking so fine,
Don’t think you knew you were in this song.”
From Forever and Ever Amen by Don Schlitz and Paul Overstreet (Performed by Randy Travis):
If you wonder how long I’ll be faithful, just listen to how this song ends.
And from the same writers and performers Deeper Than the Holler:
So I have to sing this song about all the things I knew
This Is Not A Song About A Train by Andrew Bird’s Bowl of Fire:
“This is not a song about a train, thank god,
so goes this little refrain that we’ve got,
Nor is it a song about a cigarette
Or that lady in the red dress with the castanets, no no
This is just a song about a book I read
about a guy who goes to see his ex-lover who’s now dead
and what goes through his mind, if anything at all
as her ashes float across the cemetery wall…”
(BTW, from that little blurb up there can anyone tell me what book this might be? He never says it, and I very much would like to check it out)
This is the Last Song I’ll Ever Write About a Girl by the Atari’s and Please Play This Song on the Radio by NOFX
I’ll raise you a level…
Steely Dan’s “Show Business Kids” is a song about outrageously pretentious and self-defined cool people who ‘got the Steely Dan tee shirt’ and singing this song to tell you how cool they are and getting away with it 
Show business kids
making movies of themselves
You know they don’t give a fuck
about anyone else…
Coldplay’s Yellow:
I wrote a song for you
And it was called Yellow
and Syd Barrett’s Here I Go:
She don’t rock ‘n’ roll, she don’t like it
She don’t do the stroll, well she don’t do it right
Well, everything’s wrong and my patience was gone
When I woke one morning
And remembered this song
O-oh-oh, kinda catchy
damn, malkavia, you beat me to the NOFX one
also, an Eminem song says " I was high when I wrote this", or something like that.
amyamoir
Remembered another one – “88 Lines About 44 Women,” by the Nails.
Terri didn’t give a shit, just a nihilist.
Ronnie was much more my style, she wrote songs just like this.
Jezebel went forty days drinking nothing but Perrier.
Dinah drove her Chevrolet into the San Francisco bay.
Judy came from O-hi-o, she’s a Scientologist.
Pomerante, here’s a kiss, I chose you to end this list.
Lynyrd Skynyrd’s “All I Can Do Is Write About It”:
And Lord I can’t make any changes
All I can do is write ‘em in a song
I can see the concrete slowly creepin’
Lord take me and mine before that comes
A rarely heard, but great Skynyrd tune, BTW.
Or more directly from Steely Dan, “Deacon Blues”–
I cried when I wrote this song…