There's no way in hell I could pick a single favorite piece of gaming music... Too much to choose from, too much I love.
I'd have to pick a favorite OST, and that'd go to Shadow of the Colossus. Ambient, intense, foreboding, SotC's music pulls you in no matter what the situation in the game is. Either it sets the mood perfectly, or blends with the mood seamlessly. For a game so lacking in dialogue and story, the gameplay and the soundtrack absolutely need to carry it. It achieves both with all due brilliance.
The World Ends With You achieves an incredibly close second place for me, though. Just like SotC, TWEWY's OST either sets the pace, or perfectly keeps up with it. Not to mention there's just no other music in gaming that's at all similar. It's unique without using that uniqueness as a mere gimmick, and speaks a large quantity of quality (literally).