As has been stated by several people already, there's so much great music to choose from, which makes choosing the favourites somewhat difficult. If I had to choose, though, I'd go with music from the Matroid series or the Pokemon series.
Metroid's because of how it enhances the areas you're exploring. You always get a good feel of the area from the music, and it always fits so well.
Pokemon mainly for the battle themes, which I (and many others, it seems) can just sit back and listen to for long periods of time.Location themes are often very nice too, but nothing beats the rush provided by the Gym Leader and Champion themes.