The GTA series is renowned for their amazing music across a broad set of categories. On top of the various radio stations however there is also usually an amazing score playing during intense scenes of action or drama. EA sports games usually have amazing soundtracks as well, but unfortunately you can only listen to them in the menus and not while you play Last, and most definitely not least, is Heavy Rain. The music gave me shutters and really helped drive the emotion (that sometimes got lost by some poor voice acting). I was really into the DMC soundtrack for quite some time, but it's lost it's standing appeal with me.

If I had to rate I would say:
Heavy Rain
GTA
EA sports titles (FIFA 09 sticks out)

OMG I just remembered that I would have to be out of my mind to not put the first two Mega Man games on that list as well.