Why's it part of the "Rock Box" playlist?: It's featured in the 2010 Lost episode "The Substitute." It also turns up in The Life Aquatic with Steve Zissou.
Which moment in "The Substitute" does it appear?: A drunk Sawyer (Josh Holloway) plays it on a record player as he's paid a visit by the Man in Black (Terry O'Quinn).
From the A.V. Club review of "The Substitute":
I know that our Lost creative team never picks any piece of music at random, so what can we learn from Iggy & The Stooges’ “Search & Destroy?” (Besides the fact that it is maybe the most awesome rock ‘n’ roll song of all time?) The song can be read simply as a reflection of Sawyer’s return to an “I hate the world” attitude, but there might also be something to the lines like, “Somebody gotta save my soul,” and, “Baby penetrate my mind.”