i always have music playing at a low volume under my game. i listen to various bands and create playlists in winamp; each varied to match my current mood and whatever i'm doing in-game.
i.e. for regular questing with story and dialogue, the main bands i listen to are Opeth, Porcupine Tree, Devin Townsend, Cynic, Tool, Buckethead, King Crimson, Radiohead(the ambient records such as Kid A and Amnesiac fit perfectly in the backround). Also bands like Camel as i have soft spot for old 70's prog.
Katatonia(who are referenced in the game. a nice homage to the band shown in Nystrom's Journal).
every now and then for straight forward hunting and killing, i tend to turn the volume up slightly and bring out something more aggressive like Strapping Young Lad, Insomnium, Blotted Science, Dark Tranquillity, and Meshuggah.