Personally, I don't listen to them very broadly, but some of my favourite music pieces ever can be found on movie and game soundtracks.
And I'm specifically talking about movie scores, not just random rock/pop songs used in movies. I mean stuff like the Imperial March from Star Wars, the main theme of Conan the Barbarian, so forth. The entire Conan soundtrack is actually full of great stuff, Basil Poledouris sure was a hell of a composer. the Starship Troopers soundtrack from him is also one of my favourites.
Here's a nice medley of Poledouris' music from various movies: http://www.youtube.com/watch?v=D9meRcliFMU
And here's another one, just for the sake of Awesome:
http://www.youtube.com/watch?v=tXaPM5Dolz4
None can top Basil in sheer epicness, imo. R.I.P, master.

As for game music, I've noticed RPGs tend to have the best musics. Or then I'm just biased because I love RPGs the most overall.

Baldur's Gate II:
http://www.youtube.com/watch?v=aDYEGDrO0mU
Just short clips from each track, but it conveys the mood and feel perfectly.
As an added bonus, the theme songs for each character the player has the potential for romance with in the game:
http://www.youtube.com/watch?v=ELvMk7XWcAc
The first one, Aerie, is my personal favourite. Both the character and the music, which frequently puts me on the verge of tears. Too bad it's so short.
Then there's The Witcher with its more modern sounding and low-key, but still clearly fantasy themed music.
The main theme is quite nice:
http://www.youtube.com/watch?v=HIlp3XL4oYc
Also check out the ones in the related videos box, for more nice slightly ambient-ish tracks.
Also, Mass Effect has some killer tracks, like the main title, which starts off quietly, swells up and then kind of takes flight. Fantastic piece, if again a bit short:
http://www.youtube.com/watch?v=ScQmNFmD-VU
And a more bombastic use of the same (awesome) theme melody:
http://www.youtube.com/watch?v=_hV0NuSasEA
And last but not least, One which I just discovered recently, and which inspired me to make this thread on another forum a while back (I just copy-pasted the whole thing from there because I'm a lazy bastard.

http://www.youtube.com/watch?v=KNa1W9cj8NA
It's composed by Nobuo Uematsu, who also did music for the Final Fantasy series and seems to have a real knack for creating simple but very emotional melodies. (the soundtrack for FF VI is also amazing, but I've spammed enough links already

So there. Anyone?