A Song of Death is a musical composition, usually an existing pop culture song, used throughout each film of the Final Destination series to foreshadow Death. Death would manipulate an object to trigger another object such as a radio to play the song.
Songs of Death are also a recurring theme throughout the movie. Sometimes the song doesn't make it past the script stages, but still holds the same purpose, albeit not as much. There is always a reason that the song is chosen as it typically alludes to the nature of the opening accident in each film. For example, the Route 23 Pile-up has "Higway to Hell" referring to the disasterous ordeal everyone went through and Flight 180 has John Denver's "Rocky Mountain High" vaguely referring to Denver's death via plane crash.
Final Destination (2000)
In Final Destination, "Rocky Mountain High" by John Denver, is played shortly before someone dies in various scenes, and was also heard by Alex Browning, when he went to the bathroom before boarding Flight 180. As Alex noted; John Denver died on a plane, which is why this song became synonymous with Death in this movie (ironically John also sang "Leaving on a Jet Plane" which may have been more fitting). At the end of the movie, a street performer sings the French transaltion of the song (the survivors were in Paris at the time), thus alerting Alex that they were still on Death's list.
Final Destination 2 (2003)
In Final Destination 2," Highway to Hell" by AC/DC was supposed to carry on the tradition that "Rocky Mountain High" started. However, the idea was semi scrapped, and the only time the song is used is during the actual Higway crash - orginally, it was going to also be heard on Evan's answer machine (in the script it was a friend who phoned from work, rather than his two exes) as muzak in the elevator that killed Nora Carpenter, and a few other locations. Rocky Mountain High is also heard in this movie - it is played as muzak when Tim Carpenter is at the dentist.
Final Destination 3 (2006)
In Final Destination 3, Death's Song is "Turn Around, Look at Me" corvered by The Lettermen (the credits mention the orginal writers by mistake), and is played thrice in the movie. It doesn't really relate to the premonition at all, but it is still relevant for various reasons. The first time it is used, the lyrics that should be noticed are "turn around" this is because Wendy and Kevin had to turn around to see the truck rolling towards them and also (as evidenced by the Choose Your Fate version) they needed to make Frankie turn around, so that they'd know to save him.
The second time, the important lyrics were "there is someone, walking behind you" because it was alerting Wendy to the fact that she was being followed. In addition to these, the song is also important because Death is basically "walking behind" Wendy throughout the movie, and "Turn Around" can also be called a 180. At the end of the movie, a subway perfomer sings this song with some slight lyric changes ("who really loves you"/who really needs you").
The Final Destination (2009)
Judging from the official script, it can be inferred that various characters were supposed to have their own Death Songs, but aside from Carter dying to the sound of "Why Can't We Be Friends?" by War ("Ball and Chain" by Social Distortion in the script) this was sadly not used. Because of this, aside from "Devour" by ShineDown (which contains lyrics which could actualy describe the entire franchise) Death did not have an official song in this movie. However, some fans have theorised that "Rocky Mountain High" was considered for the first time the surviors are seen in the cafe, as the song matches perfectly when attempted.
Final Destination 5 (2011)
In Final Destination 5, Death's song is "Dust in the Wind" by Kansas. The song alludes to how the North Bay Bridge Collapse was caused by "high winds". It first plays on Bus 1282 during Sam's premonition and after. It also plays when Sam is on Flight 180 alerting him that something bad is going to happen.
It could also allude to the fact that after the plane exploded, Sam would be quite literally, dust in the wind.
Sometimes, the Final Destination book series also takes advantage of the "Song of Death" composition. In Dead Reckoning, music by Aerosmith is used to acompany two of the deaths (which is apparently something one character, Charlie, makes note of). In End of the Line, "Crazy Train" by Ozzy Osbourne is played during the main accident. In Dead Man's Hand, "We Gotta Get Out of This Place" by The Animals is played during some of the deaths.