30 Seconds to Mars - Capricorn

Other than "Money", this is probably the most iconic. Can't believe nobody's mentioned it yet.

Bad Company-Burning Sky (Thunderclap)..

Only one I can think of off the top of my head.. but I know there's a lot more so I'll post more later

The Doors-Riders on the Storm (Thunder & Rain)
Jackyl-The Lumberjack (Chainsaw)
Deep Purple-Hush (Wolf or Dog howling)
Kiss-Detroit Rock City-(Car engine revving)
Doc Holiday-Last Ride (Motorcycle engine)
Motley Crue (Girls Girls Girls (Motorcycle engine)
Pink Floyd (Speak to Me (Heartbeat, maniacal laughter, & what sounds like chains dragging ..actually a lot off of Dark Side of the Moon and Pink Floyd in general.)
Billy Joel-You May Be Right (Glass breaking)
Slayer-Raining Blood (Rain,Storm sounds.)

Will post more when I get home from work tonight..

^
Oh yeah, I forgot about "You May Be Right".

You actually posted a video without the start fade-in. But that's a good call anyway.

You May Be Right starts with breaking glass
Sometimes a Fantasy starts with with a phone dialing
Sleeping with the Television On begins with an audio recording of the national anthem playing from a television.

All three of these songs appear on Bill Joel's Glass Houses. I remember when I bought this album back in the 80's and noticing that so many of the tracks started with an effect. I know I have others that feature an effect before, after or during a song, but I don't think any of the albums I owned before started so many tracks off this way.

Another would be Tough Guys by REO Speedwagon. The song starts with an audio clip from the "Little Rascals".

Just about every Techno-Industrial/EBM song since about 1988 or so

How THE hell did I forget this..Just listened to it..don't know if it's already been mentioned..don't think so..

Paranoid - Grand Funk Railroad

https://www.youtube.com/watch?v=vdcs7F-MWhA

I'll be damned if that air raid/tornado siren isn't more terrifying somehow than "War Pigs" by Sabbath!