To make your question relevant I'll only answer with games I did play, otherwise I'd just give you my fav licensed song in general haha
Sooooo I don't really have a number 1 fav, but among those I love the most there's "And The Hero Will Drown" by Story Of The Year, which was featured in Need for Speed: Underground. It's really one of the songs that illustrates the best what I love in rock music from the early 2000s, all of that in a game with vibes I have a lot of nostalgia for (and honestly NFS Underground is still very fun today!)