Uhm, probably the Pokemon Tower music when I first played Blue. Natch, Lavender Town's
music was like that to me. Creeped me out, and I felt sad too.
Also, in a different way, sort of like awe, the first time in Monster Hunter on the PSP, when I got to the Forest and Hills map. It's quite in the base camp, then you move a couple of areas, and then it's like this orchestrated opening as you see the background of the whole place you're in.
Also, the first time I fought Lao Shang Lung, when he got to the fortress, and the game's theme music pretty much started playing.