You are right. You don't need the "for" in this instance. You could argue that it's idiomatic, superfluous, or included to add rhythm to the sentence (hardly unusual in poetry and song lyrics).
If you're confused about usage, however, "except" and "except for" are not interchangeable. "Except for" means "were it not for" whereas "except" means "other than."
You could have kept me, except for your bad attitude.
This is not the same as:
You could have kept me, except your bad attitude.
Just drop in their alternatives:
You could have kept me, were it not for your bad attitude.
You could have kept me, other than your bad attitude.
The second one doesn't make sense. Your example:
In fact you can keep everything, yeah, yeah, other than me.
So the "for" is superfluous, but it's not incorrect (well, maybe some people would say so, but it's a song lyric). If you're trying to figure out other cases, use this substitution method to help you work out whether you have to use the "for" or not. In most cases, you may find that the sense of "other than" is conveyed by both "except" and "except for" but "were it not for" only by "except for." This usage, however, may also be idiomatic, as the American Heritage Dictionary suggests:
Were it not for: I would join you except for my cold.