I've already talked about my favourite soundtracks in video games, so to make this a little bit more interesting I'm going to limit my entries
First of all, anything by Team Meat or co-producers have amazing soundtracks, this includes basically anything from Super Meat Boy, Binding of Issac and Binding of Issac: Rebirth. There's just too many good songs to pick from it, but they're all good in different ways.
I'll just link this one from super meat boy
https://www.youtube.com/watch?v=WL-8rU8ltA4Another good song is actually from a game that doesn't have many good songs on it tbh. Assassins creed has never struck me as a game with good songs, but a particular song in Assassins Creed 2 stuck with me and I think kind of a gem in the rough. It's the "race" music you get anytime you're racing.
https://www.youtube.com/watch?v=QOlSpz9kH5cMy other suggestion could be Far Cry 3, especially the main theme, but Nic had already suggested that. I could also say Mass Effect has some excellent soundtracks,the third one even features my favourite composer Clint Mansells, who is famous for the soundtrack of requiem for a dream.
But a soundtrack I think is often underrated is the Half Life 2 (particularly Episode 2) soundtrack, these sounds tracks were actually really good and set the style of an epic sequence in the game
https://www.youtube.com/watch?v=rz6XaP5vYX0