When I'm having some friends over to do some casual board gaming or when I have my players sitting around the table ready to continue the campaign I always have some music going in the background. On a day to day basis, I submerse myself with it -- I'm fortunate that the work I do permits me to do so. I guess it's only natural that this will carry on through my own games.
Of course, the musical selection is a lot more random when it comes to just regular gaming but I do tend to be a bit more deliberate with my selections when running my rpg games. Don't get me wrong, I typically don't script moments and have a pre-made playlist which I go through at various queues or anything. But I have thought about it. I mean, who doesn't enjoy a great soundtrack in a movie where the music just 'fits' so very well? To do it in one's game is a bit of a pain though.
No, my musical selections for my games might be anything from other movie soundtracks (the 300, the Lord of the Rings trilogy were a couple of favorites) as well as music by groups like Rhapsody or Led Zeppelin (a cliche but hell, it's Zeppelin). Sometimes it might be something more aggressive or more melodic depending on the overall theme of the session. I've used game soundtracks as well (Assassin's Creed, Guild Wars, and Halo) depending on theme once again. It might be classical music one session and death metal the next. If the music doesn't quite fit the theme of the game I'm running, I'll just turn the music down lower just to have it in the background but never loud enough to detract from the game I'm trying to run.
Right now, I've stumbled upon the group 'Gregorian' and I'm surprised I hadn't heard of them before. Concept is simple: Gregorian Chant meets contemporary music. I'm sure I can use a bunch of this stuff in the background for some of my games.
I know some people prefer silence in their games (save from the participants) and they may go to unusual lengths to achieve such an ideal. My take is that we there to have some fun and as long as gaming happens, the occasional distraction will be tolerated. The thing is, my players have found that music in the game helps bring a bit more focus in the game -- and oddly enough, occasional levity in them too.