Cover me, I gotcha covered, cover me bad, under the covers

Ten points and mad props if you can name the game from which the above image is taken.

Go!

(mp3) David Hasselhoff - La isla bonita (Madonna)
Available on David Hasselhoff Sings America (2004)

(mp3) Anna Ternheim - Shoreline (Broder Daniel)
Available on Somebody Outside (2004)

(mp3) The Band - Atlantic City (Bruce Springsteen)
Available on Jericho (1993)

(mp3) Desert Sessions - It (Prince)
Available on Vol. 9 & 10 (2003)

(mp3) Roky Erickson - Heroin (Velvet Underground)
Available on ?