Donnie Darko's soundtrack is flawless. It does a lot more than helping building the movie's perfect 80's setting, the music is actually relevant to the plot.
Lines such as (Mad World's) "The dreams in which I'm dying are the best I've ever had" are as an essential part of the film as the characters. Michael Andrews did not only do a great job composing the unforgettable instrumental soundtrack but also enlisting his friend Gary Jules to sing "Mad World" from Tears for Fears (which is also present in the Soundtrack with the song "Head Over Heels") and made one of the most perfect combinations of music and cinema ever.
Joy Division, INXS, The Church, Duran Duran and Echo & the Bunnymen are also part of the soundtrack, giving it a real cool 80's feel.