Hm, I don't have a favorite, more a top three of tracks I like more than others.
- W4L1 (don't know the name, on the Turrican soundtrack its half of "walker factory")
- the music playing after you beat the game. Its actually quite a sad tune to a happy ending, puts a lump in my throat. It also plays at the end of the Turrican medley track mentioned by john4p.
- the alien level 'music'. It ain't actually music, but it gave me the chills nonetheless which makes it very effective for that otherwise unfitting level!