Some games yes, Some games no. But never during cutscenes
In a game like Borderlands, Fallout 3 and Prototype I will listen to my own music as I mainly just piss about and do my own thing and the current soundtrack isn't really that great so I'll make do with my own.
But in a game like Metro 2033, BioShock and Left 4 Dead I won't listen to music as It would ruin the atmosphere which really adds to the fun of these games, and I may miss some verbal tics of what is about to eat me around the next corner
However there are games like Uncharted, Transformers: War for Cybertron and God of War where the music in the game itself is too awesome to miss.