I know a ton of great video game music (most recently, Brawl flooded my playlist), but I'll keep it to my absolute favourites.
By Jeremy Soule: Bellum Infinitus, Supreme Commander
This piece never actually appeared in game, but was found in a teaser video and the soundtrack. Highly triumphant and militaristic in tone, its theme infects most of the other pieces in some way.
By Jeremy Soule: (Unnamed Battle track #4) Total Annihilation
As you might have guessed, I'm a fan of Jeremy Soule's work. Note that the name given to this song is unofficial. Total Annihilation predates Supreme Commander by 10 years, but this song has stuck in my playlist since then. A grandiose piece that builds up to an almost apocalyptic pitch by the middle that's pretty far over the top, but entirely within the bounds for a game called "Total Annihilation".
By Frank Klepacki: Hell March, Command and Conquer: Red Alert
"We want war, wake up!" Anybody who's played RTS games should know this one. This song pretty much sums up Red Alert.