It depends on the game. If it's a racing game, I'll put on music to relieve the boredom of "ERRRR, ERRRRR, ERRRRRRRRRRRR, SCRREECCHHHH, BANG!" and also put it on when doing boss fights and anything from the FPS genre.
But say for a game like MGS or Final Fantasy I don't bother. It distracts from the experience of the game, I find.