Its actually a classical piece by Richard Wagner called "Siegfrieds Funeral March" (Gotterdamerung) Twilight of the Gods.
True, but the MF recording came from Henry V. Compare the instrumentation. :-)
PS - I thought about nominating Agony, but that game is truly awful. I'm partial to MegaLoMania, myself. But,
nothing beats Pinball Illusions. The intro, the music, the graphics, the physics... that game is friggin' amazing.