It was already mentioned, but Gran Turismo 3 had such an awesome soundtrack. Both licensed and original, you can't lose! This introduced me to The Cult and became one of my favorite songs thanks to GT3. My first thought wouldn't be to put it in a racing game, but it works!
As a whole, the Forza Horizon soundtracks. Sure there are specific songs that I don't care for, but there's more good than bad and I find myself always rotating through the radio stations and not really hating any of them. That's pretty rare for me. Sadly, I can only think of one specific song I love right now. Under normal circumstances I'd spend the next five hours going through every song in the series to find the good ones, but I do not have the spoons for that tonight. x)
F-Zero GX has also already been mentioned, but fuck it, I can't let it slip past me. It has a huge soundtrack and most of the songs are at least good. I mean, listen to this shit! How can you not get pumped to race with this playing?
Okay, this isn't a true racing game, but you are always in a car and it does have racing sections, so deal with it. :V Another case where both the licensed and original tracks are awesome. This game didn't deserve to die the death that it did. ;3; Yes the second song is from some wrestling game too, it was the only version I could find without the dumb intro.