I put my own music onto open world games sometimes. I generally find that what works best with that is something kind of ambient, electronic and atmospheric, what with so much time being spent exploring the open environments.
I used to play Oblivion while playing trance, and it worked really well. Like, it was surprising how well that music fit despite the game being in a sort of medieval fantasy setting. Other stuff that worked was slower...I guess what you'd call chillout music, maybe. It created an interesting mood to go with the visuals of being in nature.
I think the tracks I specifically used most were various remixes of Silence by Delerium (especially Tiesto's In Search Of Sunrise remix), and quite a bit of Nine Inch Nails, particularly their slower stuff like Hurt, Right Where It Belongs, Beside You In Time, although Survivalism was great for fights or being chased, obviously.
I put in some rock as well but, even though I like the music, it didn't necessarily fit the mood of that particular game. I have a feeling that Jimi Hendrix or Led Zeppelin would fit really well with something more like Fallout, though. I should try that. It would suit the desolate, post-industrial and post-apocalyptic desert environment. (I'm listening to Voodoo Chile Blues right now and I think it would work amazingly with roaming and exploration in Fallout 3 or Fallout New Vegas).
I haven't tried my own music with other games, purely because open world games are the only type of games that go on so long that I get sick of hearing the same tracks. Even with Mass Effect and Mass Effect 2, really long games, I only got sick of one or two tracks, and both of those were heard on the Normandy. The rest of the soundtrack was so varied or at least interesting/not endlessly repeated that I never felt a need to change. Although, back in the old days, there were times where I had to play Final Fantasy on mute because I got sick of the battle music.