Usually the first level music in POW, Super Contra and Final Fight gets me fired right up. Also the attract sequence in MK2 and Operation Wolf. All around though, the Street Fighter games probably had the most memorable soundtracks for me.
Outside of arcade stuff though, there's a lot of older PC games I can think of that had some amazing music. The Crusader series, the Descent series, any Blizzard game, the Command and Conquer series, Raptor, Rise of the Triad, Heretic, Tyrian, actually most of those old shareware games... Tons of great stuff out there.