For music play during the game, I tend to favour soundtrack sections, played low.
Music with lyrics runs the risk of distracting the players (in either good or bad ways). Either the players are so busy grooving/singing along with the music that they're not focussed on the game -- or else they're so annoyed by the choice of music that they *can't* focus on the game. The worst, though, occurs when a player or players at the table start a discussion *about* the music.
Music is a very personal experience, and almost EVERYONE has an opinion on it, so once that table-talk discussion gets going, Referees will have their work cut out for them bringing people back to the game at hand.
So, soundtrack cuts played semi-subliminally (i.e. at a volume low enough that players don't have to conciously talk over it to be heard) can work. If you have access to a CD burner, you're probably better off burning your own compilations for use during gameplay, as commercial movie soundtracks often feature a lot of low-key "dull" filler bits. Better you choose your own array of cuts to reflect the mood you hope for in your game session(s).
On a related note, often the music tracks featured in computer games make for excellent additions to a gaming soundtrack. The cuts tend to be shorter, more focussed, and more dramatic/energetic than a lot of what you find on commercial movie soundtracks.
As personal examples, I found the soundtrack to the original Stargate film to be a good commercial soundtrack choice -- it's atmospheric, and yet it's not instantly recognizable to most people the way something from Star Trek or Star Wars might be ...
For game soundtrack files, selections from "Aliens Versus Predator 2" can really work, and for stealthy stuff, pieces from the "James Bond: Nightfire" computer game are very appropriate (yes, I'm apparently the only person on Earth who really enjoyed that game). Note that sometimes game music files merely need their file extensions renamed to .mp3 to be playable. Other game music files, like Nightfire's .ogg files, do need to be converted, but there are various free coverters to be downloaded from places like Tucows or Nonags.Com -- or through a Google search.
Ah yes, I should also mention that selections from the late, lamented TV show "Firefly" just work somehow
I've heard *cough* rumours that these episodes can supposedly *cough* be found as downloadable files on the internet. Not that I, or my friend Bob DietKazaa Program *cough* would know anything about that ...
Have fun,
Listlurker