For most games I use the original music, unless I'm having a bunch of people over and we'll play whatever music and play the game silent, or with sound effects only.  But I do use music for StarCraft and Excite Truck.

I usually listen to the song "Negativland" by Neu! on loop when I play StarCraft.

But sometimes I just have to hear this:

And since Excite Truck lets me race to .mp3s from an SD card, I loaded up a spare with Tears For Fears and Depeche Mode. Good racing music.

I do it all the time with my 360...

 You like J-Pop too? i'm more into J-rock and Visual Kei, i listen to bands like Malice Mizer, L´arc en ciel, Utada Hikari, Koda Kumi, Maaya Sakamoto, Gackt, Moi Dix Mois, Luna sea, Glay, Kuroyume and the sort.

Yup.

Why didn't Sony make it so you could do it some instead of just all of them?

Anyway, I usually just listen to the games music/sounds. The only time I listened to music and gamed was when I played WoW.