If so, then what do you mostly listen to?

I listen to Jimi Hendrix or the Misfits when i play PVK 2 and when i play FH2 i mostly listen to Jazz or classical music(HoI2 soundtrack, MoH soundtrack, BoB music etc etc)

What do you listen to?

I tend to listen to the actual music on the game. Mostly it's atmospheric and sets the tone better than any other selection could.

Same here most of the time.

But I keep Winamp running with Disturbed in the playlist for online action games.

I never play without music. I don't do anything without music.
I just set subtitles on and set WMP up with my playlist full of metal and rock and get it cranking. The main bands are; Trivium, Killswitch Engage, Slipknot, Disturbed, Avenged Sevenfold, Bullet for my Valentine, etc.

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Veiled Duality

I sometimes listen to music while I play, but its rare.