Where to start... I don't really have a favourite, so here goes...
Stalker - the trilogy all boast really, really suitable atmospheric stuff
KOTOR - both games, particularly the first have amazing soundtracks
Dawn of War (not all of it, but stuff like the Eldar Theme in Retribution)
Total Annihilation - the epic orchestral really works in battles
Shogun: Total War - it deserved an award for its soundtrack alone
Rome: Total War - really helped build up the game, especially Arab Winter, that was an epic track.
Lord of the Rings: Battle for Middle Earth 2 - yeah technically it doesn't count because its largely, if not all from the films...
The Age of Empires/Age of Mythology series - has had some epic tracks, some of which have been remixed for later games as far as I'm aware
Call of Duty 4 - of all fpses I've ever played, that's got one of the best
Crackdown - that game introduced me to a ton of artists I'd never heard of, but appreciate now
Fallouts 3 and New Vegas - the radio stuff was good, but the actually ambient stuff was even better
Mass Effect - both games again
Ace Combats 4,5,0 and a bit of 6's soundtrack are all epic
And finally Oblivion
Skyrim seems to have an epic soundtrack, but I've yet to play it, mainly because I have exams that must be passed first...