Unless you're into obcure metal/grind, you probably will have never heard about a ton of my music, but I think the current favorite underground band will be Genghis Tron.
EDIT: Here's a ton of bands I listen to that are far from mainstream:
Punk/Hardcore/Oi
7 Seconds, The A.K.A.s, The Adicts, The Adolescents, Agnostic Front, Brain Failure, Carnage, Caustic Christ, Common Rider, Crass, The Damned, Dead Boys, Dead Kennedys, Gang Of Four, GG Allin, Iggy Pop, Jello Biafra, Me First And The Gimmie Gimmies, New York Dolls, Propagandhi, Public Image Ltd., Reagan Youth, Sioxsie & The Banshees, Social Distortion, The Soviettes, The Stooges, T.S.O.L., Tsunami Bomb, The Vandals, Yuppicide, The BRiEFs, Blitzkid, A Global Threat, The Avengers, Schoolyard Heroes, Sub|hum|ans, Fear, Cock Sparrer, Cockney Rejects, Sham 69, Bad Brains, Battalion of Saints, Black Flag, Charles Bronson, Chicken Bowels, Circle Jerks, Crossed Out, D.O.A., Desperate Measures, Minor Threat, Modern Life Is War, Righteous Jams, Smoke Or Fire, The Stalin, Holy Molar, Spazz, F-Minus, Leftover Crack, INDK, Morning Glory, Choking Victim, Crack Rock Steady 7, HORSE The Band, Man is the Bastard
REAL Emo/Screamo
Kid Dynamite, Lifetime, Dag Nasty, Rites of Spring, Circle Takes The Square
CRUST PUNK (my current favorite genre)
Amebix, Anti-Product, Antischism, Aus Rotten, Axiom, Ballast, Behead The Prophet No Lord Shall Live, Behind Enemy Lines, Born/Dead, Caustic Christ, Contravene, Crude SS, Culture Shock, Detestation, Disaffect, Discharge, Disrupt, Distraught, Doom, Driller Killer, Garmonbozia, Genocide SS, GISM, Gouka, Hellbastard, His Hero Is Gone, Homomilitia, Human Greed, Jobbykrust, Kontrovers, Lost World, Molotov Cocktail, Monster X, Nausea, Rudimentary Peni, Skarp, Some Girls, Toxic Narcotic, Whorehouse of Representatives, Witch Hunt
Noise
Arab On Radar, Boredoms, Boris, Daughters, KK Null, The Locust, Masonna, Melt Banana Merzbow, Sonic Youth, Lightning Bolt, OOIOO
Avant-Garde
The Beta Band, Big Dumb Face, Fantomas, Gnarkill, Mr. Bungle, Peeping Tom, Kadenzza
Power Metal
Battlelore, Dragonforce, Hammerfall, Iced Earth, Manowar, Nevermore, Nightwish, Rhapsody, 3 Inches Of Blood, Demons & Wizards, Symphony X, Masterplan
Black Metal
1349, Ancient Rites, Anorexia Nervosa, Blut Aus Nord, Burzum, Deathspell Omega, Dimmu Borgir, Emperor, Immortal, Marduk, Mayhem, Satanic Warmaster, Stormlord, Velvet Cacoon, ...And Oceans, Xasthur, Blasphemy, Mütiilation, Satyricon, Abazagorath, Abruptum, Axis Of Perdition, Blasphemy, Carpathian Forest, Dark Funeral, Darkthrone, Diabolical Masquerade, Gallhammer, Gorgoroth, Graveworm, Impaled Nazarene, Impaled Northern Moonforest, Infester, Judas Iscariot, Limbonic Art, Malleus Maleficarum, Nargaroth, Nattefrost, Necromantia, Old Mans Child, Summoning, WOLD, Wolven Howl
Cybergrind
Agoraphobic Nosebleed, Breakdancing Ronald Reagan, Electrocutionerdz, Gånglîå, Genghis Tron, Gigantic Brain, Jet Jaguar KR-3 Kill Spree, Kindergarten Hazing Ritual, Lightning War, Nunwhore Commando 666, Scissor Shock, Underage Cuties, Scex
Death Metal
Aborted, Akercocke, Arch Enemy, Atheist, Behemoth, Bloodbath, BlöödHag, Bolt Thrower, Death, Dying Fetus, Fear Factory, Fleshcrawl, God Dethroned, Hate Eternal, The Haunted, Morbid Angel, Mortician, Necrophagia, Necrophagist, Nile, Psycroptic, Sepultura, Slayer, Strapping Young Lad, Vehemence, Visceral Bleeding, Angel Corpse, Gore Rotted, I Want To Kill You, Prostitute Disfigurement, Nunslaughter, Decapitated, Suffocation, Disgorge (Mex), Disgorge (US), Fear Factory (and way more I'm too lazy to list)
Doom/Progressive/Folk/Gothic/Thrash
Black Sabbath, Agalloch, Finntroll, GWAR, Iron Maiden, Between The Buried And Me, Dream Theater, Opeth, Anthrax, Stormtroopers of Death, Cradle of Filth, Lacuna Coil, Type O Negative, Loudness, The Missing, Yngwie Malmsteen, Cynic, Megadeth, Pantera, Hate Sphere, Gordian Knot, My Dying Bride, Glittertind (and way more I'm too lazy to list)
Grindcore/Goregrind
Bathtub Shitter, Carcass, Cattle Decapitation, Cock And Ball Torture, Torso

, 324, Anal Blast, Anal Cunt, Assuck, The Berzerker, Brutal Truth, Cephalic Carnage, Circle of Dead Children, Discordance Axis, Drowning Retarded Children, Extreme Noise Terror, Fleshgrind,

…I’m Dead, Leng Tch’e, Napalm Death, Nasum, Pig Destroyer, Siege, Terrorizer, Twodeadsluts Onegood

, XXX Maniak, Squash Bowels, Malignant Tumor, Blood Duster, Ed Gein, Mortuary Hacking Session (and way more I'm too lazy to list)
Ska(ish)
World Inferno Friendship Society
J-Rock/Visual Kei
Dir en grey, Malice Mizer, Moi dix mois, Asian Kung-Fu Generation, Orange Range, MUCC, Miyavi, Guitar Wolf, The Pillows, Balzac, 403 –Forbiddena-, Gackt, High and Mighty Color, X-Japan
Industial
Combichrist, Deadstar Assembly, Einsturzende Neubauten, Front 242, Frontline Assembly, Godflesh, Kompressor, MDFMK, Nitzer Ebb, Skinny Puppy, Wumpscut, Zeromancer, Throbbing Gristle, Coil, Psyclon Nine, Swans, Terrorfakt, VNV Nation
Hip Hop/Rap
General Patton vs The X-Ecutioners, Sage Francis
Indie/Post Rock
Cat Power, Sigur Ros, Pulp, Samuel Jackson Five, Pelican (I'm seeing them saturday)
Electronic
Ratatat, Screaming Mechanical Brain, Neuroticfish, Totally Radd!!, Ladytron
As You can see I listen to WAY too much music.
FURTHER EDIT: People, stop calling Dimmu Borgir underground. They're about as mainstream as extreme metal can get, along with Cradle of Filth.
And now, a joke:
Why are indie kids so bad in bed?
Because they're always complaining about the 7 inches they don't have.