Times nominated: 5
As far as Eighties rock bands go, Depeche Mode are just one small rung of success below the U2s and Bon Jovis of the world. Dave Gahan, Martin Gore and Co. have sold huge amounts of albums, consistently play arenas and, in Gahan's case, come back from the dead. But they've never won a Grammy. Perhaps just as weirdly, four of the band's five nominations have come since 2001.