I like them! Examples:

Les Savy Fav - "You're so vain, I bet you don't think this song is about you" from One Way Widow.

Biffy Clyro - "Then I see a darkness
You see the blinding light
Will Oldham's in the corner moaning
"Can't you write your own lines"" from Saturday Superhouse.

More?

(I usually hate list threads, but I think this is worthwhile because I'd ACTUALLY listen to a song purely on the basis that it quotes another.)