There are some good soundtracks out there besides this one.
Here are some of my favorites:
Metoroporisu
Anime version of Metropolis, very jazzy, though it was sadly lacking one song from the movie, Ray Charles doing "I Can't Stop Loving You."
Natural Born Killers
Produced by Trent Reznor, it ranges from Bob Dylan and Patsy Cline, to L7, NIN and Leonard Cohen. Also has an early soundtrack appearance of Juliette Lewis before she formed her band.
Trainspotting
Great sampling of dance and trance music, the first CD is better than the second. This is the first place I heard Elastica, and I still like them and lots of others from this cd.
Fight Club
Dust Brothers' very atmospheric and interesting to listen to soundtrack. Includes a track of Brad Pitt's rant about unique snowflakes from the film.
Being John Malkovich
If you're into classical-esque soundtracks, this one is superb. It was composed by Carter Burwell, who worked on tons of other soundtracks, such as Fargo, A Knight's Tale, The Hudsucker Proxy, etc. It also includes two tracks from Bjork I haven't heard elsewhere and an odd mix of John Malkovich saying his own name.
Romeo + Juliet
The first CD of this is a good cross section of the 90s music scene at the time, and includes the Cardigans' big hit "Love Fool," and a great song by Radiohead. The second CD is the score, with some of the dialogue, and is, in my opinion, really representative of the over-the-top melodramatic style of the movie.
Basquiat
An artist pseudo-biography film, this supposedly really catches his feeling well - though I'm not sure about that, since his work seemed to be heavily influenced by jazz and there isn't a single jazz track. At any rate, it's a great selection of music that includes PJ Harvey, Tom Waits, Joy Division, David Bowie, and others and is definitely worth a listen even if you haven't seen the movie.
Tsotsi
Interesting selection of South African hip-hop, a style called kwaito (yeah I had to look it up). A good introduction to the genre, and worth checking out if just for "Matofotofo" by Pitch Black Afro, which has a great beat and transition from the sampled "I Put a Spell on You."
And of course, I love pretty much anything by Cirque du Soleil. I'd say in most cases you don't even have to see, much less enjoy, the related movie to enjoy the above soundtracks.
[sorry that ended up being so long]