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.