Let A be an algebra (or dg algebra). Where can I find a proof of HH_*(A) = HH_*(Mod_A) and HH^*(A) = HH^*(Mod_A)? (And does this hold for any A?) Here Mod_A is, e.g., the category of left A-modules.

One reason why this is interesting/important/useful is because many categories which arise "in nature" are of the form Mod_A. For example, there is a theorem of Bondal and van den Bergh which states that derived categories of a large class of varieties (I forget their exact hypotheses) are equivalent to Mod_A for some A. Dyckerhoff also proved that categories of matrix factorizations are of this form. By mirror symmetry, Fukaya-type categories should be of this form as well...

Anyway, so to compute HH of such a category, it suffices to find this A and then compute HH(A). I think that it generally(?) should be easier to compute HH of an algebra than HH of a category. (Of course finding this A can be a very nontrivial task.)