I'll leave out some of the more obvious ones like Zelda and Final Fantasy since those are pretty much given.

Never played the game yet, but listening to the soundtrack on Youtube, Zero Wing (what you say!) has some amazing music. I really need to track down a PAL version for myself since apparently it runs fine in a US Genny.

Recently I've been playing Ecco: Tides of Time on the Genesis, and it's got some really atmospheric music. Creepy and foreboding, yet beautiful at the same time.

The music in the otherwise mediocre Street Fighter 2010 on NES is also pretty kickin'.