Depends on the game. In games with first person view where sound is an integral part of the experience music is just distracting and I turn it off. Music would be totally inappropriate in Thief 1 and 2, for example.
For other games I usually use the default music, but at a lower volume than the sound effects, although I always crank it up if it's especially good pieces like the Haven theme in HoMM 5.
If using custom music, it's prog like Yes, King Crimson or Procol Harum, or prog metal like old Iron Maiden.
Since I'm a combatfag Gates of Delirium by Yes is an obvious favourite.
For other games I usually use the default music, but at a lower volume than the sound effects, although I always crank it up if it's especially good pieces like the Haven theme in HoMM 5.
If using custom music, it's prog like Yes, King Crimson or Procol Harum, or prog metal like old Iron Maiden.
Since I'm a combatfag Gates of Delirium by Yes is an obvious favourite.