I'm actually not entirely sure if it's a saxophone, but it sounds like it...and even if it isn't, it's a prominent horn and I love the use of it.
Porcupine Tree's Don't Hate Me, the ending saxophone solo gets me every time and the last few notes, especially that last lingering one, really hits me hard. It's beautiful stuff and it's pretty subtle, but prominent enough to be emotionally effective. That's really all I can think of right now but it's by far and away my most adored horn solo.
I should note that in some versions (live or recorded/demo) there's just the flute solo, but in other versions, and I believe in the official record version, there's also a (again, I THINK) sax solo. The flute part is also awesome but the sax really adds the sex.