Oops my bad. The theme song on FX' Damages is not Iggy Pop's.
The song is called "When I Am Through With You". It is by a band called TheVLA.
But you have to admit their sound is quite similar to Iggy's, his Cry For Love
being the evocative comparison that springs to my mind.
Find TheVLA's bio and more of their tunes at their MySpace page.
Damages airs Tuesdays at 10:00pm est [please check your local listings] on FX.