I ran a Feng Shui con game a couple of years back, where I just collected a bunch of music that I thought would be good for the general background of each scene (so modern Chinatown with a bunch of classic Chinese pop hits, the netherworld with freaky electronica, and ancient China with lots of simple traditional Chinese music), and then I just had a big collection of upbeat classic fight music for the fight scenes (lots of movie stuff like Battle Without Honor or Responsibility, the one from the Matrix etc and with Kung Fu Fighting thrown in there for good measure).
It worked okay. I got one comment from someone saying they thought it was distracting, and no other comments.
In the 4E D&D game we play, the DM has a running loop of one or two soundtracks which I honestly just tune out, as I don't feel they add anything to it.
For a game like CoC, or run in a pulp era, I can see the benefit of running music if people walk into a club or a speakeasy or something, and for setting mood for scary bits, but I think you have to choose wisely when to do it, and have an easy way of making it run - because nothing breaks the mood more than fiddling with technology.