Mm, I'm not familiar very much with their newer material, but one of my 18th birthday presents was their Discography compilation, which I liked a lot.
I didn't include it in my post in the Best Song From Your 10 Favourite Bands (because it's not one of my favourite bands), but the Pet Shop Boys' cover of "Always On My Mind" was for a long time - since 2008 when I first heard it, until last year when it was defeated - my favourite song ever. So beautiful.