The Pixies - "Where is my Mind?" plays at the end of Fight Club, but it's omitted from the soundtrack.
The ending montage in Napoleon Dynamite (Patrick Street - Music for a Found Harmonium) is omitted from the soundtrack -- but the soundtrack includes an "Alternate ending montage" that is completely different. The music when the credits start (When In Rome - The Promise) is on the soundtrack and it's very fitting. The soundtrack also has a different version/performer for "Time after Time" versus the one in the film. Another omission on that soundtrack: The White Stripes - We are Going to be Friends (used in the film opening).
More:
The Devil's Advocate: The Rolling Stones - Paint it Black
Fallen: The Rolling Stones - Sympathy for the Devil
Gladiator has excellent ending music (Hans Zimmer - Now We are Free), but it's not really a "song."
I vaguely remember that a cool/fitting song played at the end of Spy Game.