Nine Inch Nails are awesome (and of course Depeche Mode is incredible). I think their best moments were in the mid to late nineties with Downward Spiral, The Fragile (one of the only albums that is effective on 2 discs) and then the Broken EP and Perfect Drug single. Their latest efforts are also really good, but I don't think they'll ever reach the same momentum they had at that time.
On a side note, Trent Reznor is releasing a new EP under a new band formed with his wife. I was skeptical at first, but I have to admit it's pretty damn good:
I have to give credit to Atticus Ross for that as well. That man deserves a lot of respect. I don't know if you guys have heard "The Book of Eli" soundtrack, but it's amazing. I highly recommend you check it out.
As far as Depeche Mode goes, I definitely see the inspiration Nine Inch Nails incorporates into some of their songs.