Over at Chessvibes there is an article concerning chess and rock music. One of the songs highlighted is "Bad losers on Yahoo Chess" by Half Man Half Biscuit (who also authored the classic "We built this village on a Trad. Arr. Tune.") They also discuss a couple of other songs and video clips that reference chess, but they miss one very obvious entry.
The New Zealand/Australian band Dragon once released a song called "The Dreaded Maroczy Bind". When I was first told this I found such a song title so unbelievable that I bet $20 that it was just a wind up. I was $20 poorer when I was shown a copy of "Dragon's Greatest Hits" with said song on it.
The explanation for the song and the title was that their songwriter Paul Hewson was not just a musician, but also a serious chess player. One of their big hits "April Sun in Cuba" was more subtly chess themed, being inspired by Capablanca, although he doesn't get a mention in the song.