After hearing all the awesome themes of each character in the OST, why arnt they in the game?  
Or am I just forgetful... 
 
 Edit: Tell me this isnt great : http://www.youtube.com/watch?v=4gaMwiTIwgQ

NEVER. 
 
Indestructible drowns out all other music with its sheer superiority. 
 
Though to be serious I don't recall hearing the characters' themes anywhere in the game but I too may be forgetting something.

the themes play before online games when you are waiting for both players to hit the ready button.  Also in some of the higher level time trial and survival matches.  But those are the only places i've found

In the arcade mode when you fight your rival the rival's theme plays, and in some cases the players. For instance, off the top of my head I know when you fight Ryu as Sagat Ryu's theme plays and vice versa. Whereas Cammy's theme whilst playing as her in the arcade mode during the rival fight. I agree with you, there's some great songs on the OST and there should be an option for each character's theme to play whilst facing them in single player at least. I particularly like the new version of Ryu's theme, for nostalgia's sake.