If you want to play (and win) a game of Six Degrees of Facial Bacon there are two bands you need to know about: Pigface (of course) and The Golden Palominos.
The Palominos are not really a band though, it is a project centered on one man, drummer Anton Fier, who made a name for himself playing with The Feelies and Pere Ubu. Fier has managed to get some of the most interesting characters in the music business together on the GP albums, often doing covers of songs far from their usual repertoire. The songs range from country/bluegrass-influenced rock on "Blast of Silence" through a cross-section of mid-80's alternative rock on "Visions of Excess" to dark ambient and disturbing poetry on "Dead Inside".
The first incarnation of the band was labeled a super-group of avant-funk, mainly due to the inclusion of John Zorn and Arto Lindsay but later on they have turned into the super-group ove anything. You could also argue that since Jack Bruce from Cream played with the Palominos, and Cream was one of the first super-groups, then the palominos would be a super-super-group. (sorry...)
Some of the people who have recorded with the Palominos are:
Even if you don't care for one or two of their albums due to the very varied styles, you have to agree that any band that have included members from The Rolling Stones, The Sex Pistols, The Flying Burrito Brothers and R.E.M. must be something special.