I'll say Metal Gear and Soul Series has some of my favorites, but I'm also a big fan of the Kingdom Hearts soundtrack (especially 13th Anthology). Zelda and Star Fox have some classic kicking tunes, and Smash Bros. Brawl brings the best of the Nintendo world together. Speaking of, I absolutely love Fire Emblem's soundtracks. When musicians can come together and make classical tracks sound modern and amazing, it gets my vote.
Classic wise, Mega Man series (including Legends) had some great tunes, as did other odd and end games like Dynamite Headdy for Sega, Rocket Knight Adventure Series for Sega and SNES, and Super Mario RPG. A lot of Square's music in the olden days (Final Fantasy, Chrono Trigger, etc.) was fairly exceptional.
I don't mean to prattle on and steal anyone else's choices, I just own a wealth of VG soundtracks. Carry on!
Oh, here's 13th Anthology if anyone's interested: