Megaman, Megaman X, the original Star Fox, Final Fantasy VI.....Yeah, pretty much every game from the 8-bit, and 16-bit eras. I also love some musical scores games have, Halo, Gears of War(the first game had my favorite music, shame they changed the composer for the second game), and Prey to name a few.
I loved the music in Bioshock. Killing splicers to "The Nutcracker's Suite" just felt so epic to me.
EDIT
I also really enjoyed the music from Advent Rising. Which, in my opinion, is a very underrated game.