I almost always listen to music when I play Starcraft: Brood War. But I keep the in-game audio audible. Using sound cues to keep things flowing helps a lot.
I'm still trying to figure out a good playlist for SCBW. I have a weird composition of dnb(mostly liquid, though I'm trying to balance it out), dubstep, ambient, *electronic and some neurofunk.
It helps my APM(sort of..). And I just enjoy listening to music so why not ^.^
With most single player games, except maybe Diablo-like games, I don't listen to music though.
*read: songs I'm not sure what to call.