I don't think I have one favorite, but here's some I really like:
Magma Dragoon - MMX4
Our Blood Boils, Relation,
Lazy Mind - MMX7
Town of Hicksville - Gun.Smoke
Skull Stages 1 and 2 - Mega Man 2
Damn near the entire MMX1 soundtrack
Ending - Sweet Home
Damn near the entire Bionic Commando GB soundtrack
Area 1, Sewers, Area 12 - Bionic Commando NES
Frontline Base, Enemy Airforce, Forest Fortress boss, Project 4 Headquarters, Final Boss - UN Squadron
Most of the Phoenix Wright soundtrack
Where are these lemmings going? The
Super Nintendo Super Shire! Hop in line and follow them there!