Bloody Hell Yes;
Alan Wake's use of Space Oddity was completely and utterly perfect. That game just had brilliant use of licensed music regardless (It was, I've learned, only on the Special Edition soundtrack for some reason, but Barry Adamson's 'The Beaten Side of Town' was also brilliantly used there.)
It's like they made their game around the songs instead of vice versa.
Mr Bowie:
http://www.youtube.com/watch?v=EOlowNcrBO8
Mr. Adamson:
http://www.youtube.com/watch?v=kTM1aJGVw6U
And Yes, Bastion's "Setting Sail, Coming Home" was absolutely beautiful, a wonderful combination of two achingly brilliant and crushingly melancholy songs.
The Live video of (first) the Great "Build That Wall," then "Setting Sail," that the one fellow mentioned a ways back.
http://www.youtube.com/watch?v=DGxgFxF47XY