All of the music from Colo/XD gale of darkness is really good. All the towns and everything really set a good atmosphere.
Personally, I find XD's music to be worse than Colosseum's... The themes in XD were too short, and looped to early for my taste. Though Miror B's battle theme was great :)
Anyway, I have too many favourites to pick three, so I'll split them into categories and pick three from each.
Overworld themes:
Gold and Silver - Dark Cave
The best cave music, in my opinion. Long and memorable :)
Diamond and Pearl - Canalave City
Nice and calm; probably my favourite from D/P.
Gold and Silver - Route 38
To me, this sums up Johto's character in a single song.
Wild battle themes:
FireRed and LeafGreen - Deoxys Battle
Pretty funky; it's the perfect song for a rare event Pokémon.
Diamond and Pearl - Uxie/Azelf/Mesprit Battle
One of the best battle musics ever. It's cool how it incorporates their theme (the song played in the lake caverns).
Platinum - Giratina Battle
You can tell that a whole lot of effort went into this. It suits Giratina and the Distortion World perfectly.
Trainer battle themes:
Emerald - Frontier Brain Battle
This was remixed in Platinum, but I like the original best. It's actually a remix of the main Battle Frontier theme, which makes it even more epic.
Red and Blue - Gym Leader Battle
How can anyone forget this? It's really tense and and action-packed.
Gold and Silver - Trainer Battle
Pokémon trainer music at its prime. That's all.
Non-main series games:
Quoting for great justice. This has the epic feeling that the actual final battle music lacks. I remember reaching 90 at Mt. Battle, hearing this, and thinking, 'this is it'.
Battle Revolution - Final Battle
A remix of the Gateway Colosseum theme (the first colosseum you enter in the game), as well as the main theme. It makes you think how you've gone full-circle; from being a new challenger, to defeating the Pokétopia Master.
Ranger: Shadows of Almia - Field Theme
Unfortunately, I couldn't find this one on YouTube. It's the only song played on routes in the game (other than during missions), so it's helpful that it's a good song. It has three distinct parts; listen to it all the way through if you ever play the game.
And that's it.