Sound is one of those things that I think rarely gets the credit it deserves in games. You can often find that the best sound is that which you do not notice, because, it immerses you in the game experience, but without it the game would be dull. It is almost a sub-conscience thing.
Sound is a great tool for setting the mood or creating a feeling, and is something used to great advantage in the horror genre, which I have to say, I play for 5 minutes and then wuss out of. Sound is a huge part of the film industry, and I think, that more game developers should build on sound design to make it an even bigger part of games.
My noticeable favourite soundtracks include Final Fantasy VIIs ballads, which I think played a huge part since there was no voice acting, and the epic soundtrack of Shadow of the Colossus, where the enormous orchestra played to the scaling of the titanic creatures.
My favourite artist made soundtracks have to be the adrenaline pumping hard rock and drum and bass of Motorstorm, and the tunes pumped out in SSX 3 as you navigate your way down secluded mountainsides.
It's not just music that grabs my interest though. Sound effects are another big part in games. The weary and disturbing ambiance in Max Payne was a real mood setter, whilst the pure noise in Black left me hearing my heart pound throughout my body.