The Halo series in a nut shell has some of the best music in any of the games I have played, all of it completely composed for the game itself, not music pulled from elsewhere.
Half Life also has some great music made for the game itself.
The early NFS games had amazing music, made by Romi Di Prisco who has made music for literally dozens if not hundreds of different games. Shame the newer ones no longer have music made for the game itself, just random songs and artists.