At the end of the year 1998, the Pet Shop Boys were asked to contribute a song at extremely short notice to appear on the soundtrack of Van Sant's remake of Psycho. Neil: "I thought of calling the song 'Screaming', because it was Psycho. So I went and screamed in front of the microphone several times." He actually wrote the lyrics twice - used version is here, scrapped one here. Commentary is here.
The Crying Game
The Pet Shop Boys released in 1992 a soundtrack to Neil Jordan's film The Crying Game on their own label Spaghetti. Originally they were asked to contribute a song for the film (originally called The Soldier's Wife). They said they were too busy, but saw the film ("really good") and suggested using a song Live For Today by Cicero. They produced tracks for Boy George, Cicero with Sylvia Mason-James and Caroll Thompson for the soundtrack.
The song Nothing Has Been Proved by the Pet Shop Boys, which was recorded by Dusty Springfield and which was released as a single and on the album Reputation, was originally written for the film Scandal about the Profumo Scandal. In spite of the song In Private (see), this song was used for the film. This song is very specifically about the Profumo Scandal.
The song Disappointed, a result of collaboration of the group Electronic with Neil, appeared on the soundtrack to the film The Cool World.