The Soviet Fobos-1 was accidently disabled by an incorrect command. Fobos-2 worked for a while and took some good pictures of Phobos, but it failed before it was able to launch two small Phobos landers. The Russians still are looking for funding for their Fobos-Grunt ("phobos soil") mission to return samples of the Martian moon to Earth.
As for planetary satellites, an Mars:
Mars-2 (Soviet)
Mars-3
Mars-5
Fobos-1
Fobos-2
Mariner-9 (USA)
Viking-1
Viking-2
Mars Global Surveyor
Mars Odyssey
Mars Reconnaissance Orbiter
Mars Observer (maybe, but probably not)
Mars Express (EU)
At Venus:
Venera-9 (Soviet)
Venera-10
Venera-15
Venera-16
Venus Express (EU, arrives in april)
The two American orbiters, Pioneer Venus and Magellan, entered the atmosphere. Have other Mars/Venus orbiters decayed? I don't know.