It feels a little bit like cheating because it's not really video game music so much as music that made its way into a video game, but Homeworld's version of Adagio for Strings set to a choir is fantastic.

The Cave Story soundtrack is what I go back to most often, however.

In Cave Story, the world is so poignant despite its simplicity, and it makes your role as the hero even more important. Nobody can save the world but you, and you're not going to get it done in time to save everyone.

Years later, Undertale came out with some similar things in its soundtrack (disclaimer: I've never actually played Undertale, which must make me some sort of barbarian), but Cave Story was the first game that I really felt a deep, tragic connection to the characters during. In other games, losing an ally was frustrating or annoying, or preventable easily.