Brian May's story is pretty impressive. He left school while pursuing his PhD when Queen became popular. Over 30 years later he finished his studies and obtained his degree.

There's also Brian Cox (there must be something in the UK water about turning out musicians/physicists):

http://en.wikipedia.org/wiki/Brian_Cox_(physicist)

Also Tom Scholz of Boston. MIT-trained mechanical engineer, worked for Polaroid, and then left to found one of great classic rock bands.

In that vein, all three members of the J. Geils Band were engineering students at my college (WPI) ;)

And apparently the lead singer/guitarist/keyboardist for OK Go (although I think that was after I left)