Ar Tonelico 2 - still probably my all-time favorite, very memorable and when I hear it, I can immediately make the connection between the music and what scene/area it played in, including the feelings associated with those scenes.
Other Ar Tonelico/Ar nosurge games have this too, but with 2 I felt the strongest about it.

Trails of Cold Steel 4 - With the caveat that it's not quite as great as a stand-alone OST, what makes it greater to me is the callbacks and connections to previous games in the music. The game's like the capstone of 9 games and some of the music definitely gives you that feeling.

Beyond that, Falcom games in general have great music (including Ys VIII as Karifean mentioned).