Over the years, I've experimented with the use of mood music in my games. In some cases it was a roaring success, in others just a waste of time. But I do recommend you give it a go. I've got a small list available on the Seeking Solis website - check it out!
For fantasy campaigns (mine was a Middle Earth game) I used music from the TV series Merlin (UK BBC) to great effect. Also used was the soundtrack from Gladiator and Conan.
A fellow GM once played a wierd CD of 'Tibetan Bowl Music' which was down right freaky. It worked very well in the game as our characters were in a wierd and haunting ruined city deap in the heart of a trackless desert... Had us all nervous as hell just listening - Chris Dalgety, if you are reading - it was brilliant!