I mostly listen to the ingame music if it isn't a completely annoying soundtrack, like that techno stuff in the Need for Speed series or something. Then I like to put on something fitting like grind/deathmetal for fast fps games (especially when playing things like Quake I :P, grind + zombies is TEH killer combo. Anyone ever played Zombiegrinder 60000?
http://www.viceland.com/se/v2n2/htdocs/game.php ), or something a bit more mellow for rts games. Really dramatic classical music works for almost anything. It's really hilarious to make total smeggin' armageddon in GTA to something like Wagner or Dvôrak.
(And totally offtopic... :P I love your sig, Mighty Midget )