Easily my favourite is the arrangement of Bach's Toccata and Fugue in D Minor from Konami's Gyruss. It's heavily based on the version done by the band Sky.
Something about the combination of this music and the gameplay still gets me intensely into the game, especially at the higher levels. I can literally walk away from a session of playing it sweating and shaking from the working.
As equal runners-up, I'd have to go with the version of Pengo that uses an arrangement of 'Popcorn' for the gameplay music; tied with that is the first stage of R-Type. Other levels in that game also have good music, but this one really works for me.