I know some of these have already been mentioned, but I just had to post them here!
I Fell In Love With a Dead Boy, by Antony and the Johnsons-it's somewhat vague, but I always interpreted it as the thoughts of a woman who has fallen in love with a man who is becoming a woman. It's a heartbreaking piece.
Picture of A Man by Our Lady J-Great description of what being a trans* woman feels like in a male dominated world.
Prince Johnny by St. Vincent-She said herself it was written about a self destructive friend, and going by the lyrics alone I'm almost certain that he was trans...it's a beautiful song.
And I know this isn't a trans song per se, but the video is fantastic. Also, for some reason people thought that Annie Lennox was a "male transvestite"; that always makes me laugh, but I can sort of see it. When I saw this though, I knew I wanted to BE Annie Lennox-she transcends gender so effortlessly, it's inspiring.