Einstürzende Neubauten are a very cool band, I've only recently discovered. I was thinking of a way to describe their sound, but nothing really comes to mind. Perhaps industrial is the best way to go. But that doesn't really cover it.
As Louise Grey wrote in a review of the album '2x4' for The Wire: "A few months ago a tower block near my home blew up. Now, air moans through the abandoned building, the structure groaning as it sways in the wind. Like that of Einstürzende Neubauten, it's a subtle sound and it suggests the perversity which lies at the hearts -die schlagende Herzen- of all things. As an album this is, among many things, an exercise in listening that sensitises you to the noises all around you. Absolutely essential."
Another review, this time by Jon Pareles for The New York Times, 1998: "Einstuerzende Neubauten (which means collapsing new buildings) got started in the late 1970's as a punk band, went broke and sold its instruments, turning instead to industrial detritus that made plenty of noise. The shows in the 80's were known for their debris-slinging spectacle and the potential for disaster. In one New York show, at the Ritz, the band set the stage on fire.
Now, the band is calmer, willing to show more contemplative and more melodic sides; one of its new songs even uses cascading string-orchestra chords. But Einsturzende Neubauten was never exactly anarchic. Its music has always proceeded at a measured pace, rationing materials with Minimalist asceticism; the band presents itself with the discipline of a performance-art project."
Just go and listen to their music. Some of my favourite songs are "Sabrina" (there's also a very cool video for this song » unfortunately I have only seen it once at some ridiculous hour, on MTV), "Stela Marie" and "Der Schacht Von Babel". Also take a look at this or this unofficial site.