I bow before you, our audio-geek master!

C64:
Wizball
Giana Sisters
Delta
Monty On The Run
Auf Wiedersehen Monty
The Last Ninja
Amiga:
Shadow Of The Beast
Lemmings + Oh no
Super Cars 2
Monkey Island 1+2
Cannon Fodder
PC:
Hitman series
Descent 2
Unreal Tournament series
GTA:VC
GTA:SA

I'm surprised that no one mentioned the Homeworld soundtrack.

I love the Sonic the Hedgehog 2 soundtrack, it is so awesome.

hell march for red alert one and and yes 3 any one seen the red alert 3 remix vid?

Homeworld 1&2
Half Life series (all the music is great in game and some of it is great to listen to out of game too DJ Dain's remix of one is really good as well)
Mass Effect (retro electronica for the win!)
Beyond Good and Evil
Ghost in the Shell (the one that came out waaaaaay back on PSX)
Two Worlds (absolutely awful awful game, i mean really. But the soundtrack is actually pretty solid and that opening screen music? sheer epic cheesey brilliance.)
All i can think of just now.

I know this isn't an old game, but if you have played LittleBigPlanet it has one of the best soundtracks I have heard in years!

VtM: B had indeed great soundtrack. I like to listen to background music when I am walking long distances at night. Creates very nice atmosphere.
The music in this game just fit with everything.
Arcanum: it is free and very very nice
I also like HL2 music.
M A F I A: I love music from that time. When you enter Chinatown for the very first time... awesome feeling.
KOTOR1 some background songs were pretty cool. KOTOR2 lacked in that department.
What OIS said. First Command and concquer music. I downloaded the game again just for the music.
Red Alert is not worse with its Hell March.
Deus Ex has some very memorable songs
i think that's it

These three, I guess:
The Elder Scrolls IV Oblivion
World of Warcraft
Vampire The Masquerade: Bloodlines

Lots of games have good soundtracks (Super Mario World being one of the most detailed and thoroughly well done in my humble opinion), but only Nightmare creatures had audio tracks of original melodic dark metal a la Castlevania in the original game CD. Come to think of it, I should vote for it on the wishlist. Nah, already own it.
I really like Vampire the Masquerade: redemption's soundtrack too.

My absolute favorite soundtracks:
Morrowind
Mechwarrior 2
Mechwarrior 2: Ghost Bears Legacy
Mechwarrior 2: Mercenaries
Some others that i really like:
Halo
Lands of Lore: Guardians of Destiny
Homeworld
The Genesis Sonic the Hedgehog games.
Soul Reaver
There are definantly more, I just cant think of them.
Oh, wait! i cant believe i forgot the Hover! soundtrack!

For me.
Tribes and Tribes 2 - Tribes 2 came out with a CD that was for sale with additional music from the same artist. Yes, I own it! :oP
Myst Series games (cannot remember which was which though)

Prince of Persia: Warrior Within. One of the best soundtracks... Arabian sounds + heavy metal guitars by Godsmack (one of my fav bands, maybe because i like it so much :D )

I have always liked Mega Man (NES) soundtracks and many NES/SNES and other old stuff. Contra, Castlevania, Secret of Mana etc.
Baldur's Gate & Planescape Torment
Doom I&II
Monkey Island
OMF 2097
Starcraft (I love the Terran musics)
Total Annihilation & SupCom
Those are at least some of the best ones I could remember now.