My fav piece of music on FFIX is called "You're Not Alone", and is played in Terra when Zidane starts ignoring everyone but they still come to help him. For whatever reason, that scene was one of the most touching scenes in any game I've played, and the music probably was a large part in that, it's just great
Other great songs are Assault Of The White Dragons (when you're going to Memoria, and all those white dragons start attacking and then Cid and his airship armada shows up to clear a path for you), and Dark Messenger (during the last battle with Kuja)