I like many games soundtracks (like music from Full Throttle) but usually those soundtracks are obvious choice for "best music ever!" (like famous Arcanum)
But I want you ppl to "show" one game that has no-so-great gameplay (but still cool to play - pretty environment, great fun) but has just that one track that is sooo... Well ppl - check it later -> "Two Worlds" menu music.
To find it check on YouTube "Two Worlds Menu Music" and look for 4 minutes 45 seconds version

I usually play multiplayer games, so I can't judge too many games' soundtracks, but usually they were good enough for me. :) Lord of the Rings Online and L4D have awesome music, so no need to have MP3s playing in the background. When I play competitive titles, like TF2 or CoD4, I prefer to keep to the in-game sounds, as it's important to hear what's going on around you and keep track of your surroundings. :)