Usually in these threads I'll order from oldest to newest. From the Sega genesis era, it'll be Skitchin' (every. f'ing. song.) and Shinobi 3.
After that it was Need for Speed 2 soundtrack, sounded like Steve Vai going apeshit on guitar, too awesome. Nothing better than sliding around corners at 300km/h and crazy solo going on in the background.
San Andreas soundtrack was pretty damn good, I actually owned quite a few of the songs so it was great to cruise along to. Was also in a jazz funk band at the time I was playing it. Too many songs to choose one from there...
Most recently, I like the Wet soundtrack, even though it's not quite my kind of music but it just rocks so well and suited the game wickedly. (And I didn't even like the game or main character *that* much). This was more just the feel of the overall soundtrack, rather than any one song.
I love the Battlefield theme song =)