Hmm, there are many games with great soundtracks, but surprisingly not so much of them use the music to full extent.
For example, while Halo always had a fantastic Soundtrack, i never felt it is used in a good way outside of the cutscenes.
That said, the Shadow of the Colossus Soundtrack comes into mind. It feels like during the game, the music provides a great buildup for the confrontations, and when they finally happen, you fight with a really epic score in the background.
Hitman: Blood Money had an equal quality.
Other than that, i second SSX, because it shows how much you can do even with licensed Music. Also, thanks to the Music, playing SSX1's "Snowdream" for the first time ranks amount my favorite gaming moments ever.