I like the Russian March song from Red Alert.
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I have to agree that is one of the greatest musical scores in video game history. I like any music I can march to, like Primus.
Command & Conquer: Red Alert (Opening theme)
Planescape: Torment (Especially the theme for Ignus)
Neverhood (like Cuchulann said)
Full Throttle (Band: Gone Jackals)
Quake (Band: Nine Inch Nails)
Sam & Max (Music Here (http://www.telltalegames.com/samandmax/soundtracks))
Bioshock (excellent choice of classic songs)
-420