I imagine you meant OSTs and not licensed music, so I'll stick to that. Also, I'm literally just picking some random stuff which came into my head, so don't blame me.
Stellaris had a surprisingly good soundtrack on release, but it keeps getting better with each expansion. This is currently my favourite track..
Dawn of War 2 was already mentioned, but actually I think (despite being a rather disappointing game by most accounts) Dawn of War 3 actually exceeded it. Orchestral and choral stuff is kind of what you'd expect from a 40k game, and while the DOW3 soundtrack has some excellent examples of that it's the more ambient tracks which really stick out just because they're a bit different.
This one was used in the trailer and takes me back to a time when I was genuinely excited because for a second it almost seemed like they might be doing something atmospherically or tonally new with 40k (a setting I used to love but became extremely bored of). Sadly, it turned out that is strictly not allowed.
So, I feel I need a nostalgia pick, so I'm going to go for the Morrowind theme. In a series where each game has a signature title theme, I think this one is by far the best, not because it's an amazing track but because it immediately primes you for what to expect from the game itself without needing a single visual image. It's so whimsical it makes me want to puke, but in a good way.