It has to be said, music can really set the scene for action or a certain mood. Even if its just burbling away in the background it has a subtle effect oh how you view or react to things. Heck, it even works on boardgames!
Recently, I was playing the Battlestar Galactica Boardgame (with Pegasus expansion) with a group of friends. One of these friends had his laptop with him and a playlist of the soundtrack form the TV series. So while we played, he set it off playing in the background. It wasn't intrusive or get in the way of play, it just added another dynamic and made the boardgame feel even more immersive. There were even points where people who knew the series said that we should skip to certain tracks when we were being massacard by Cylons or when we airlocked someone (in my defence, he was actually a cylon infiltrator!) Actually having the soundtrack in the background made that particular experience more nerve-racking as I worked out how I could garentee the attack and get the hidden Cylon off the ship.
Another time I have personally experienced the use of music in gaming was when during the finale of my Vampire: The Masquarade campaign as my lovable bunch of lunatics headed into a raid and attack on the main Sabbat base. I wanted it to be especially epic and so even asked one of my players to bring along a set of speakers since he ones on my laptop weren't great. Wired them up and plugged in my MP3 player and with just a quick choice of playlist it helped enhance the entire escapade. We even had lucky timings with the music. One example was when one of the party (they decided to split up to attack form multiple points) and his little raiding group were surprise attacked by one of the lead Sabbat. hey had already been winding their way through pitch dark corridors, and the music had been appropriate to heighten the tension. Just as the Sabbat lead attacked the music shifted in a sudden spike and it just fitted so perfectly with the action. IT doesn't always happen, but when it does, it is worth it.
There are times when I wish that life had a soundtrack, and when I get the chance to do just that, it makes things just that little but more awesome. It also helps justify my large collection of movie and TV soundtracks... you know... just in case.