The Radetzky Marsch is Austrian, not german. So is Under the Double Eagle. I think Johann Strauss wrote both of them.
The Horst Wessel Lied cited above as "Die Fahne Hoch" is Nazi stuff and by definition not a good song. My vote for the best march is the Hohenfriedberger Marsch which I have on an old LP, Archiv No. 2533 059. Does anyone know if that ever came out as a CD?