Hmm. In no particular order...
La-Mulana (PC) - Excellent freeware Metroidvania game, in the style of old MSX titles. Terrific soundtrack.
Super Metroid (SNES) - Pretty much the series zenith, and a defining moment for the genre.
Descent (PC) - The 6DOF shooter. Utterly kickass soundtrack, to boot.
Lemmings (Amiga) - Often imitated, never duplicated. I've been playing this one for fifteen years and it still hasn't gotten old.
Defender Of The Crown (Amiga) - All the Cinemaware games were great, but this one is my particular favorite.
Akumajou Densetsu (NES) - a.k.a. the un-butchered version of Castlevania III. Another great game with a great soundtrack.
River City Ransom (NES) - Hands-down the best brawler I've ever played.