A great example of how diegetic and non-diegetic music can work together to create an amazing scene is the intro to the Bioshock Infinite Burial at Sea Episode 2. The way they layer non-diegetic music to form transitions between the diegetic music sources from is incredibly well done, and feels so natural that I never even considered it until a professor brought it up and had my class analyze how they did it.
Pure non-diegetic music is what makes up most game scores, and the most iconic scores are pretty much all non-diegetic. Master Chief wasn't blasting Marty O'Donnell's score out of the speakers of his warthog, orchestras don't follow you around in Final Fantasy, and so on. Diegetic music is a tough thing to pull off, but what I find really interesting is the mixing of the two like the example above. While soundtracks are often key in creating an emotional connection to a game (trying to avoid absolutes here...), intelligently used diegetic music can create really immersive experiences. To combine them without it being immediately apparent to the player is a really cool concept that could make for some interesting experiences to say the least.