Braid has arguably the best soundtrack I have ever heard. Undoubtedly my favourite of the songs, simply beautiful:
Then, of course, there's Shadow of the Colossus. One of the songs has already been posted, and it's great in a quiet, haunting way, but my personal favourite, which is fantastic for exactly the opposite reason:
EDIT: Technically, I'm breaking the thread rules here, since neither of these are themes. Ah, well.