Oh my, why I didn't think of Low's Christmas EP? Possibly my all-time favorite EP, I saw them play it live 6 times
Here are some others:
Godspeed You Black Emperor! – Slow Riot For New Zero Kanada E.P.
Joy Division - An Ideal for Living
Sonic Youth - Silver Sessions, SYR1 & SYR2
Dinosaur Jr - Just Like Heaven
don't know if it's actually an EP, it's more of a single perhaps, but the 12" vinyl has a very cool etching on the back
Neil Young- Arc
Low - Transmission EP