I always liked Ultimecia Castle's music. FFVIII, obviously. It added to the "creepiness" of the place...and at the same time...personally it made the place seem more awesome.
I liked The Extreme too, which is played when you're fighting Ultimecia's last form. I don't know why, it just sounds nice.
Oh and, Megaman Zero 4's "Ragnarok". Which is played in...well...the Ragnarok Core level. It gave me the type of feeling that it WAS the final MMZero game. The final level. The final boss in the series. The music just gave me that feel.
Also Falling Down, the music played during the final battle in MMZ4. It gave me the same feeling that Ragnarok did, only, it was more epic and it was given a stronger "finale" feel.
I'll steal someone's Youtube comment to sum it up. "A last ditch effort to destroy the enemy". Or something to that effect.
How about you guys?