Well, they've already covered 'House of the Rising Sun' (One of my favorite songs) I think it'd be great if they covered one of these:
1.) All Along the Watchtower - Bob Dylan
2.) Perhaps Stairway to Heaven, I'd think it'd be cool to hear it in that Muse sound.
3.) I also think it would be cool if they'd play 'Telstar' by the Tornados at a concert.