The Metallica Garage Days albums are good cover albums.
All Along The Watchtower is covered by The Dave Matthews Band and it is pretty awesome.
Disturbed has a few covers and they are pretty awesome. They cover Shout and Land of Confusion.
Children of Bodem cover 'Ghost Riders in the Sky' on Blooddrunk.
Dream Theater has a few fantastic covers on their album 'A Change of Seasons'.
