There are many contenders for me. It's hard to say which ones I prefer, but this is a list of the best music I can think of.
Oblivion's soundtrack is brilliant even if you haven't played the game. I listen to it all the time, it's such an enchanting musical score. There's something about Oblivion. It's such a big world, with so few people in it. The music seems to bring that across on its own, without the need to play the game.
Mass Effect has another brilliant soundtrack - almost taken directly from Blade Runner, it adds so much to the incredible 80's sci-fi feel of the game. I think Mass Effect has the same sort of abandoned atmosphere as Oblivion, it's a big gameworld to explore, but there are few people to meet inside it. It's an almost meloncholy feeling of the absolute beauty of the places you find, and the complete lack of people to be there with you.
Mega Man 9 is another strong soundtrack - it isn't easy to make an 8-bit game sound good, but Mega Man 9's songs are memorable and brilliant to listen to. Plus, it's just plain awesome. When you're playing Plug Man's stage, it's hard not to crack a smile just listening to the music.
Halo also featured good music. So did Half-Life 2, all of Rare's games and all of the Oddworld games. I can't decide. I'll go ahead and say Oblivion though, since that was my first choice (and paragraph).