I am NOT posting a bunch of links.

I'll just name off games that I think have awesome soundtracks.

Super Street Fighter 2 Turbo
JoJo's Bizarre Adventure
Street Fighter Alpha 2
All the Street Fighter EX games
Toshinden 1, 2, and 3
Fatal Fury Special
Real Bout Fatal Fury 2
Fatal Fury: Wild Ambition
Every King of Fighters game except 2001-2003
Star Gladiator
Rival Schools series
Samurai Shodown
Guilty Gear XX
Hokuto no Ken
Power Instinct 4: Matrimelee
Evil Zone
Pocket Fighter
Suikoenbu/Dark Legend
Marvel vs. series (especially Marvel vs. Capcom 1)