Jazz Jackrabbit's music was awesome. I think I still have the mods somewhere (or were they XMs?).
I'll join on C&C soundtracks for the military epic yet rock'n'roll touch. Hitman music are really good, and in the infiltration soundtrack I'll also cite Splinter Cell (it was Amon Tobin's work IIRC).
Little Big Adventure had one hell of a soundtrack.
Monkey Island for it's rather unique Carribean mood.
Diablo. Matt Uelmen did AWESOME work. And not only on Tristram's theme, even if I listen to that masterpiece on an almost daily basis.
Nights: Into Dreams. It's... sweet.
Castlevania, of course. Bloody Tears FTW.
The Nomad Soul. David fukin' Bowie.
Battlefield 1942. The other ones were good too, but BF1942 was the most epic.
And of course, Silent Hill