Personally, I try to immerse myself in the ambience of the game, however the devs intended it to be. Some games though go out of there way to take you out of the experience. When that happens I'll either go to my mp3 flavor of the month or (more often) turn the game music down and turn sound and speech up.

I prefer to listen to Dragonforce while playing any fast pace RPG or Medieval Action games... The Hardest Metal known to man. :P

Heh, wouldn't go as far as "The Hardest Metal known to man", power/speed metal is nothing compared to Behemoth or Vader. But it does suit playing fast paced games. I love listening to Blind Guardian, Eternal Legacy, Darksun or Destiny Calling while playing Call of Duty 4, Team Fortress 2 or Halo 3 online. Keeps the adrenaline levels up and helps to noob some pwns :P

Well, I've got a very varied playlist.
Starting at Half-Life 2 soundtrack, through Disturbed and Metallica, ending on Coldplay.

Usually I listen to black metal or doom metal when gaming. I'm playing Mount & Blade a lot these days, and found that Inquisition really hit the spot.

I like a good mix, electro sometimes, french house, yaya.

But I'm also a Rock fan, heavy metal, and hip-hop, but not gangsta rap. Anything Johnny Cash or Willie Nelson is also good.

rock, goth/darkwave, metal, industrial, violindustrial, anime soundtracks and then a little of everything else everyone mentioned here. I really don't dislike any type of music if the song is good, then it's good music to me.

The game soundtrack, period. Gaming is all about atmosphere, to me, so listening to anything but the game sounds is a shame. Even if the OST sucks, I listen to it... well, generally if the OST sucks the game too sucks so I wouldn't play it anyway :-P

Any car game where the soundtrack isn't good (Any NFS game for instance): Good Old (see what I did there?) Rock like Motley Crue, Van Halen, AC/DC and all those classics. It's just the best damn driving music there is.
When I play World of Warcraft and have heard the in-game soundtrack for that encounter a thousand times: Well, currently it's Metallica's Death Magnetic spinning endlessly. When I PvP a bit, I usually hit Disturbed's Indestructible.
Diablo 2 LoD: Back when I was getting several chars to 99 online, I usually hit up Diablo (yes, it's a band), Deathstars and a few others of that kind.
Mostly, I listen to the in-game soundtrack, especially when it's a singleplayer game. But sometimes the in-game sound just isn't worth it, so I set my current media player of choice to go through the playlists. As you can no doubt see, it's mostly metal of some sort. Arch Enemy is another nice one depending on the game.

Been listening to Jurassic 5 with Fallout lately.........interesting. :)

Chinese Democracy with Fallout...fitting.

I have been on this frenzy of listening to MSTRKRFT while playing Peggle lately.