Classic answer would be Ocarina of Time (zelda series in general) for what has been my favorite for a real long time. But I actually enjoy a lot of video game OSTs, since some pretty brilliant writing and arranging goes into them from time to time.
My recent (ok, like past year and a half) favorite videogames music is definitely from Touhou Project though. I don't care how nerdy that makes me, ZUN writes music some bands could only hope to create. A personal favorite:
http://www.youtube.com/watch?v=ETTk83qis0w