Pavement - Range Life (smashing pumpkins, stone temple pilots)
Sonic Youth - Screaming Skull (Lemonheads,Husker Du)
Sebadoh - Gimme Indie Rock (Husker Du, Sonic Youth, Velvet Undergound, Stooges, Pussy Galore)
The Fall have done this a few times as well, don't specifically remember which songs though. There's also a Belle and Sebastian song that mentions the Velvet Underground, again can't remember which. It's on their first album I think.
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