It's been said before but Hendrix's version of All Along the Watchtower is much better than the original.
In fact, pretty much any song that he covered was better than the original, Hey Joe, Wild Thing etc.
I also prefer Turisas' version of Rasputin, originally by Boney M.
Holy Diver, originally by Dio is blown away by Killswitch Engage
I prefer the Megadeth version of Anarchy in the UK to the *** Pistols one.
Soulfly's version of The Beautiful People is better imo
Other than that, I agree with a lot of whats been said already, Nirvana, Johnny Cash etc.