Traumganger: Pink FLoyd has some great songs with saxophone parts, but it isn’t exactly the main instrument. ‘us and them’ ‘shine on you crazy damond’.
The other day on VH1 classics channel I saw a video from a band called ‘traffic’ that had a lead saxophone player. He even had some pedal effects on it. This could be what you are looking for.
I do not write here the bands/songs what I like, 'cause those evil illegal music downloaders will then download those songs and so rob the artists.
Btw. I think I have quite nice collection of favourite songs, but luckily you warez-creeps will never know what those pieces of art really are. 
I don´t want say any more abaut my favourite bands or songs but; Iron maiden is the BEST and BEST song in the world at this moment is their Dream of mirrors and their best albums are Brave new world, Seventh son of a seventh son, Piece of mind and Powerslave
Hmm, i have a very varied taste of music 
.
Some of my favourites are:
Lamb
Portishead
Massive Attack
David Sylvian
Fläsk Kvartetten
Lucky People Center
Tricky
Tori Amos
Faultline
Silent Poets
Some of my favourite songs:
“Fallen Angel” - King Crimson
“Poems” - Tricky
“B-Line” - Lamb
“The Big Come Down” - Nine Inch Nails
“The Scent of Magnolia” - David Sylvian
“Mute” - Faultline
I could probably continue…
My favorite band was incubus…but i’m not so sure anymore now that they got rid of Dirk…they put in the guitar player from the roots to be their bassist. that was the biggest disappointment i’ve had in years. so now i think my favorite band is the ataris
Royksopp rules!
the arrogant worms are truely great! Some songs are stupid and lame, some are really funny 
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Favorite Bands:
Bad Religion
Bouncing Souls
Millencolin
NOFX
Rancid
I like Russian lesbians, errr, I mean Tatu Their Russian stuff is better than their English stuff. The Russian Version of Not Gonna Get Us is sooo good. Something along the lines of Nas Ne Dogonyat
I also like:
Rob Zombie (Scum of the Earth)
White Zombie (More Human Than Human)
Megadeth (Symphony of Destruction)
Bif Naked (I Love Myself Today)
Shakira
Red Hot Chili Peppers
Paul Oakenfold
Faithless
Juno Reactor
*Forgot to add Aimee Allen
My taste in music changes from week to week, depending on what someone suggests or I overhear on the radio. Right now, I retreat from work each day into my lair for a few hours of:
Kent (Swedish Band)
Blind Guardian (Mainly their LOTR-inspired songs)
Linkin Park
Evanescence (Well, just one song actually. “Bring Me To Life”)
Next week it’ll probably all be different. 
Incidentally Raging_Canadian, you do know that Tatu aren’t really lesbians, don’t you? It was all a scam composed by their manager to generate interest from the male audience. Apparently it worked.
La La La La La.
I can’t hear(read) you Athiest.
I can assure you that they are, in my dreams. . . .
anniversary
afi
american football
apples in stereo
beach boys
beck
ben kweller
billie holiday
beta band
beulah
bjork
black heart procession
blood brothers
bright eyes
built to spill
cars
clinic
coldplay
cure
damien jurado
death cab for cutie
elliot smith
Enon
faint
far
get up kids
gravy train
hot hot heat
international noise conspiracy
jimmy eat world
jocks
Justin Timberlake
lands farther east
les savy fav
living end
long winters
magnetic fields
masters of the hemisphere
mates of state
matt sharp
microphones
mineral
minus the bear
Men Without hats
Michael Jackson
modest mouse
movielife
my bloody valentine
nada surf
no knife
one line drawing
ozma
pavement
phantom planet
piebald
pinback
pixies
postal service
pretty girls make graves
q and not u
quasi
radiohead
red light sting
redd tape
reggie and the full effect
rentals
saves the day
shins
smiths
weezer
socials
time to fly
space twins
sparta
yellowcar
dstarlight mints
strokes
that dog
thermals
thursday
ugly cassanova
waxwing
There’s this finnish artist, Ismo Alanko… great songwriter, a true poet, I’d worship him if I didn’t worship God already
But let’s see…
Simon and Garfunkel, Somewhere they can’t find me!
oooh that song is great.
and anything by Astor Piazzolla. Tango on a higher level.
Traumgänger, maybe you’ll like this song…:
theendrecords.com/real_audio … litude.mp3
Btw, the best song IMHO is Opeth-Black Rose Immortal
U2!
Bruce Springsteen 
yes, nice one ginkgothian, especially that last sax-part
Bands?
Alice In Chains
Nirvana
Saliva
Wrestling Themes…
As for songs…
Man In The Box - Alice In Chains
Slow Chemical - Finger Eleven
Smells Like Teen Spirit - Nirvana
The Great Sasuke - New Japan Pro Wrestling
KAIENTAI Deluxe - Michinoku Pro
On My Own - The Used
Hayabusa - Frontier Martial-Arts Wrestling
Du Hast - Rammstein
Alice In Chains - Would?
Mankind - WWF/E
Cactus Jack - WWF/E
Saliva - Click, Click, Boom
Saliva - Get The Tables
Iron Maiden - Two Minutes To Midnight
I always say I don’t listen to much music, but I do listen to a lot more than I give myself credit for.
Hmmm
Metal/Rock:
Opeth ( ), Disturbed, My Dying Bride, Moonspell, Katatonia, Darkane, The Defaced, Paradise Lost, The Clay People, System of a Down, Iron Maiden, Bal-Sagoth, Ill-Nino, Anathema, Type O’ Negative.
Other:
Juno Reactor, Within Temptation, Carlos Santana, Shiva Shidapu, Tiesto.
Some more!
Iced Earth
Helloween
HammerFall
Demons And Wizards
Cat Stevens!
Tool
Twisted Sister
Queen
Slayer
Sentenced
Did I already mention Rammstein?
ROCK ON!