Not just a Bowie song from an underrated album, but I also now noticed that it is really is a strange combination of a grim title and dark lyrics with a very melodious song. (Well, "melodious" for certain values of that word...)
This came out before Amazon took over my life, and I remember buying the CD ("Earthling") in a booth in the mall, and the sales girl said: "They said that this is Bowie back for real". I answered: "Heh, somebody says that for every album he comes out with."
I thought his previous album Outside also had some great stuff on it and was also underrated. Although pretty durn experimental, noisy and dark.