There is a mysterious group called Gescom, who were associated with artists from the Warp label, whose samples I've done some decoding on with Audacity. Interestingly, Max Richter used to do work with Future Sound of London, and some of his pieces appear to have coded artifacts, most notably, the morse code on "Infra," and what appears to be either a map of the Thames or the bus route of the 7/7 bombers, and a couple of pieces with "Cypher" in the title. I almost wish I'd spent more time on them before forfeiting the surprise in an HN comment, but I'm probably never going to finish it.
KMFDM's "blood evil" has some signal encoding at the end that you can hear and see in the spectrogram which I think might be a video signal, but I haven't figured out how to demodulate it.
In my own music to figure out how much trouble artists go to on these, I created a sample library of sound encoded images and use it on a very old sampler. The distinctive buzzing noise of an encoded image is something that grabs you once you know what it is, and the hunt begins!
(edit: can't bear to mention this without a shoutout to Master Boot Record and his mbrserver.com bbs as well)