EDIT: Seems dynamic music is back in style in some very recent games, many of which I haven’t really played yet. Good. 
For me, it’s dynamic music, the kind that some games had that adjusted moment by moment to what was happening in the game.
The best-known example of this in the 90s game TIE Fighter, where the moment more enemy (or allied) ships showed up the music would have a little additional flourish to acknowledge the shift in battle. There were pre-battle tension tracks, battle music, complications of battle, grandiose flourishes for the arrival of enemy or even allied capital ships, and victory and failure music all ready to flow into the next seconds of the game.
A lesser-known but still excellent example of this was in Ultima Underworld and its sequel, where drawing a weapon had its own special “preparing for battle” tension music, getting attacked had a jump-out-of-your-skin joltingly sudden musical start that actually scared me as a kid when I got ambushed, music for battles going well, going poorly, victory and defeat.
I wish more games did those sort of second by second musical changes, but they’ve sort of fallen out of fashion for the most part. 
You could still squeeze a Wario Ware microgame into one of them.
I think it would be hard to fit a minigame into a loading screen without making the loading screen longer due to loading the minigame, though. Like it’d be easy enough if you were coding your loading system from scratch, but modern games are mostly built using big pre-existing engines, which are full of their own assumptions about how loading works.