First thing that came to mind was the Deus Ex games. Human Revolution takes places almost exclusively in seedy underground locations.
Human Revolution - Detroit City Ambiance
Human Revolution - Detroit Marketplace
Human Revolution - Lower Hengsha Ambiance
Human Revolution - Hung Hua Brothel
Invisible War - Return to Cairo/Shantytown
The Max Payne series is another one that takes place almost exclusively in run down cities. Max Payne 3 has more ambient themes
Max Payne - Main Theme Even though it's the menu theme it really encapsulates the seedy, underground feel of the entire game.
Max Payne 3 - 9 Circulos The track that plays when during the Favela montage
There aren't really many other series that stick out to me for this genre but here are a few more good fitting tracks.
Assassin's Creed - Acre Underworld