I don't have any specific instances where I heard a song and something happened, mainly because I'm still so new to their music. I've only been a (very devoted) fan for some months, after all.
But associations are plenty.
At the moment, it's Veljanov's "Fragile Little Thing" that makes me go all funny inside. Something in not only the lyrics, but the softness and mood of the song brings back memories of the first time I fell really head over heels in love. That was pretty much how it felt, completely engulfed in each other with no thoughts for the rest of the world. He was the world.
I like going down memory lane that way, to be reminded of things in the past, memories I have forgotten, and people I have lost. I spend so much time focusing on the present, and the future, it's easy to neglect the past.
And it makes me feel comfortably nostalgic. I miss the feelings from then, even though I don't really miss him too much. But something that makes you tear down all defenses and jump in headfirst, should be treasured.