Deus Ex and Deus Ex: Human Revolution both have great soundtracks.
Amnesia games' soundtracks add up to the great ambience of the games. The music just adds up to the horror instead of taking off of it.
Portal... Christ, did I spend an hour or two with this game. I used to speedrun it a lot with a friend of mine, so the soundtrack kind of stuck in my mind just because of that. Not like it would not be a great soundtrack anyway.
Portal 2 is also simply brilliant. Different from Portal, sure, but still brilliant.
Black Mesa... A Half-Life 2 mod. Made as a remake of the first Half-Life (a task in which it succeeds quite well) has a really good soundtrack too. The music kicks in just at the right times to highlight the action and bitchslappery being committed towards the bad guys. Great stuff.
And a countless number of other games I've played but forgot to mention. There are so many games with brilliant music out there, I just can't list them all. These are, however, the most relevant ones from my point of view. I never had any consoles apart from the Wii my folks bought just a little while before I moved out, so the classic video game themes and such "stuff that everyone should know", were helplessly missed by me.
TLDR: Amnesia games, Portals 1 and 2, Black Mesa and some other stuff. I never had a Nintendo.