I'm going to write a long post for this one because there are some games with really good soundtracks I like.
I think the best soundtrack from a perspective of listening to it all the way through is the Donkey Kong Country 2 OST. I think it's the only videogame soundtrack I know that's so consistently good. Every track is a banger, I don't think there are any mediocre ones.
Earthbound has a soundtrack that I love because it fits the theme of the game incredibly well (just like everything else). The weird surreal synths and odd jazz tracks go well with the trippy backgrounds and alien invasion themes, but then there's also the themes for areas that really capture the sense of them, upbeat heartwarming themes for the small towns etc. One of my favourites in that game is the desert theme 'Super dry dance' where the radio tuning sounds capture the weird spacey atmosphere of the game. At the same time, the song sounds exactly like driving a truck through the desert with bad reception would.
Other notable examples of soundtracks that I like a lot
Cave story has been mentioned a few times in this thread but its worth mentioning again because it's amazing what the game does with such simple melodies. This track is a good example.
Plok. Also this by the same composer