My favorite video game music ever is this:
http://fr.youtube.com/watch?v=7ZX2N9_7NO8
it also appears in Super Metroid but I prefer this version
The Brinstar Depths theme in Super Smash Bros Melee is also one of my favorite theme
So does Sonic The Hedgehog's Scrap Brain Zone theme, because I've been hearing it since I was a child prolly
But overall my favorite video games music often come from Metroid and F-Zero (the techno ones)