I think the most important thing to keep in mind is to not play music with vocals. I think one of the worst games I played was where someone said they were going to put on some music (and of course I thought it was mood music) but it just turned out to be various popular songs. Roleplaying went down, but commenting on music selection went up!
Movie and game soundtracks are the best. I agree with whoever said to aim for "obscure" if possible ('cause if you recognize something, you just might want to comment on it, or maybe the soundtrack makes you just think of whatever movie it came from). But, heck, even the Requiem for a Dream soundtrack works great.
Or play Slayer.