Both Still Alives were very well-suited to their respective games.
And I'll put in another vote for Far Away in Red Dead Redemption. Rode my horse extra-slow into town so I could hear the whole thing.
Let's see... what other games have great iconic songs...
I love the intro music to Deus Ex, especially when it goes into the funky breakdown section with the techno-ish sounds... you know what I'm talking about
Call of Duty 4, the opening credits sequence where you're riding in the back of the car on the way to an execution. I absolutely love the background music for there. Best part is when you're driving through an alley and the music hits another peak as you emerge by the coast and you can see the jets flying by and helicopters landing.