One thing I've always loved about fighting games is the music. Every fighting game I've played has had an excellent soundtrack. I still think Third Strike has the best out of all of them, the music in that game was SO good imo.
Skullgirls has my absolute favorite Fighting Game soundtrack (The Lives We Left Behind, Paved With Good Intentions, The Legend of the Skullheart, Pedestrian Crossing, In a Moment's Time, etc. :3), but there are so many Fighting Game soundtracks that deserve an honorable mention. For that reason, I will mention one that hasn't been listed yet: Melee.
Super Smash Brothers Melee had some really amazing orchestral covers of the music from several Nintendo games, with my favorite being Fountain of Dreams as the best cover of Gourmet Race ever to be in a Nintendo game. Even some of its original tracks were amazing, including the main theme, Target Smash!, and How to Play (which is my favorite track in the entire game, personally. It had no reason to sound that good).