Let me start by saying that Tsukasa has my eternal gratitude for introducing me to the absolute perfection that is Hyung-tae Kim. Not only is he by far my favorite game concept artist, he is easily my favorite artist, period.


Though it goes without saying, after that last paragraph, the game with my favorite concept art is War of Genesis III. I've had more avatar from this game then any other single game. I highly suggest looking at the gallery that Tsukasa linked too.
Plenty of other games have good art too, of course. Look at Magna Carta, also done by Hyung-tae Kim:
Once again, it's art can all be found in the gallery that Tsukasa posted.
Disgaea has some fantastic art, by the way. I originally was hooked by Etna's character design, which I love to death, but upon further investigation into the art book and whatnot, I realized that the rest of the art was great too.
The Fire Emblem games, at least since the sixth game, have had absolutely wonderful art too. Probably my second favorite collection of game art, after Hyung-tae Kim's.
Stella Deus is one of those games that I know nothing about, but that I've saved every piece of official art i can find because I love it so much:
