The game that stands out the most for me is Metroid Prime. This song just pulled me in while I was exploring the frozen tundra, but the other songs pulled me in as well - like the sea stage. The music may sound slow outside of the game especially to someone who has never played MP but it really fits the environments you were exploring.
Next up would be Bioshock, the whole game was great for setting up the atmosphere. Skyrim and Dishonored are good as well, and actually a few songs during the MW2 Special OPS missions pulled me in as well ...bridge mission I remember the most.
I still don't quite get it. Some people are impressed with the positional audio mixing in the Frostbite engine Battlefield games, but I think it's just not good. Explosion effects seem pre-panned, and there's no real distinction in direction regardless of what headphone surround tech you use.
Agree - I played on the PC with both speakers and cans and directional audio was a mess and its like the sound effects were an after thought.