I'm not sure I have an overall favorite. That said, there are a couple that I'll occasionally listen to even when I'm not playing the games... so I guess that's good enough?
No particular order...
1. Deus Ex (PC, 2000)
2. System Shock 2 (PC, 1999)
3. Donkey Kong Country 2: Diddy's Kong Quest (SNES, 1995)
4. U.N. Squadron (SNES, 1991)
5. Perfect Dark (N64, 2000)
6. Mass Effect (PC, 2008) / Mass Effect 2 (PC, 2010) / Mass Effect 3 (PC, 2012)
This is probably kinda cheating... but also Grand Theft Auto: Vice City, technically, since I listen to a ton of 80's music just in general.