I've always been rather fond of Quake 3 Arena's soundtrack, which was pretty much done entirely by Sonic Mayhem. Most people prefer Quake II's soundtrack (also Sonic Mayhem, but less "industrial" and more "I want to sound like Metallica"), but for the kind of game Quake 3 happens to be, Sonic Mayhem went perfectly with it.

...And man, doesn't anyone else adore the old fantasy-esque MIDI sounds of old shooters like Heretic or Hexen? That stuff was the best!

Deus Ex has some pretty good game music that fits well with the game. Transport Tycoon Deluxe also has some swinging tunes.

Those were great!