I listen to just about every type of music available, but I often try to get 'slower' music with 'slower' games, and 'faster' music in 'faster' games.
Opera in an RTS
Metal in an FPS
I've also got this [http://classicfm.nl/] for when I first play a new game because it, in my opinion, fits well with just about every game. I also have a few movies with songs in them for windowed online RPGs so I control what I'm listening to.(the link is for a Dutch site, if you want to hear the music, it's the "Luister Live" button, if it works for non-Dutch visitors)