Some require a hardware dongle:

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Some require a hardware dongle:

I’ve only ever bought the Hollow Knight soundtracks, they were purchased from Steam and came in the form of DRM free MP3 or FLAC files
Cnfirm that all of the soundtracks I've bought on steam (5 or so) are all both mp3 and flac.
I'm sure that somewhere, some has made one that is stored in some sort of restricted form. I've definitely purchased ones that are not. I don't think that a blanket statement could be made either way. If you're looking at a particular soundtrack, I'm sure that whoever is selling it will provide information about the format.
EDIT: Well, okay, you might not be notified if it uses some sort of digital watermark. I don't know if that's what you're thinking of; it wouldn't prevent one from being played, as is asked in your question, but it might permit an infringing copy to be traced back to an original purchase. There are definitely commercial audio vendors
I don't know of specific examples involving game soundtrack audio
that do make use of digital watermarking and others that do not.
All of the Steam soundtracks I've bought came in MP3 format, some also in FLAC for good measure. Can't download it over web though, have to download them with the Steam client. Some games have bonus content that is just slapped in the game folder as MP3s or whatever.
Bonus soundtracks in GOG are also DRM free (of course) and downloadable over web.
I have a huge playlist of soundtracks. I leave them running for my cats when I'm at work. I've purchased some from Steam, got some free from GOG, and purchased some on Amazon's digital music store because I couldn't find them anywhere else. All were DRM free and can be played on any compatible music player.
If it's sold as a separate soundtrack, typically no. Usually they're just MP3, FLAC, or WAV files -- sometimes you get a choice, sometimes not.
Here's an example where the purchase is not restricted.
Not really, even in the dark days of Compact Disc that kind of DRM was still pretty uncommon.
Don’t really know much about video game soundtracks, but iTunes is famously DRM free and it has video game soundtracks for sale. Dunno how deep the catalog is though.