Rocket Launcher from Quake. Not the sequels, I didn't play enough of those to get a good feel for them, I mean the original Quake's rocket launcher. Really deep, bassy "boom", followed by really powerful explosions that make quick work of practically any monster in the bestiary (Shamblers less so, they have partial immunity to explosives).
Doom's Rocket Launcher is also pretty powerful, although its launching sound is more of a mildly-bassy "ploomf", so it isn't quite as satisfying. On the other hand, its normal shotgun is basically the gold standard for shotguns in video games, and its super shotgun is probably one of the most fun weapons in gaming, period - it breaks the weapon balance over its knee by doing rocket launcher levels of damage at close range without splash damage, but nobody cares because it's awesome.
Duke's rocket launcher and pipebombs are similarly wonderful. Aside from making short work of virtually any enemy, causing them to explode into fountains of gore (although you could mod the game to make them explode into cash or mail or even more gore or whatever), Duke 3D put so much focus on blowing up walls and floors that you were often required to break out the things to open up the path forward - or, more often, hidden paths off to the side. Supremely satisfying, that.
Also of note are Blood's TNT and Powerslave (console)'s Amun Bombs, which are similarly powerful explosives that are used to break open walls (and even go bomb-jumping in the case of Saturn Powerslave)... I think I have a thing for explosives that open up passageways.