Music can be important to enhance (or kill) the mood for your game. Mostly when I've played RPGs I forget to bring music along or we play at a library, so it's usually isn't a factor. But for fantasy RPGs I really like listening to classical music or renaissance music, most notably Lute or Classical guitar.
Wargaming is a bit different. It usually bogs down to listening to music from that time period, or in the case of playing Warhammer 40k, throwing on Slayer's "Seasons In The Abyss".
What kind of music do you listen to while gaming?