I love the comments, but I would have to respectfully disagree on "Like a Prayer" and "Paint it Black."  I absolutely love those two and go nuts whenever they are played (especially when "Paint it Black" is intertwined with "Sugar" as it was at Chicago's House of Blues in June of 2011).  I agree on "Why Don't You Love Me" but I think my favorite overall GPN cover is one they rarely  do any more - Blondie's "Heart of Glass."  I love what they do with that one.  Also, "Mystery Train" is a great one.  
http://www.youtube.com/watch?v=u8FPwNDOd_I&amp;list=PL3D68EEF40D871813&amp;index=18&amp;feature=plpp_video