One of many favourites :
My least favourite might be "Dawn of the Black Hearts", a bootleg live album by Mayhem. Their ex-singer called Dead took a shotgun to his head and killed himself. The ex-guitarist Euronomys (who later got killed by "The Count") found Dead's body and took a picture of it .. that picture ended up on the cover of the bootleg. Or so the story goes.
Obviously I won't post it here because I consider it snuffy, but if you really feel a need to check it out, they have the cover on the bootleg's wikipedia article.