Wow, I didn't know so many others liked to pop in a CD while playing ^^
I like to play music that adds atmosphere to the environment I'm in. During parties, usually dance/trance or really upbeat battle theme's (such as 'Force Your Way', the boss battle theme from FF8)
Otherwise I'll listen to more ambient tunes while traveling. Favorites are various Castlevania tunes, especially those from Symphony of the Night. Other favorites include my Lunar 2 soundtrack (In case you have it, the desert theme fits the Desertish zones perfectly, also the battle theme is wonderful) and my 'game mix' (just a bunch of game themes I pulled at random from the net, uh, legally). The ice zone theme from metroid prime is one of my faves to listen to while traversing Qufim and those other ice zones I never go to.