GuyNamedErick: Unlike the Steam release of Hexen and it's expansion, Deathkings of the Dark Citadel, the CD Music is included in both games. Another thing, the Deathkings WAD file, HEXDD.WAD, is patched to v1.1 out of the box. The Steam release has HEXDD.WAD v1.0 which has the SNDINFO lump missing, meaning no MUS/MIDI music will play. Since HEXDD.WAD v1.1 is included in the GOG release, you don't need to manually patch the game through DOSBox.
I would like to give thanks to the Doom Wiki for this information, you can look on the WAD file page here:
https://doomwiki.org/wiki/HEXDD.WAD Regarding Hexen 2, the CD music is also included, which was not in the Steam release much like the original Hexen and its expansion. So all the Hexen games now have the CD music included in this GOG release.
Just want to make a topic for anyone curious on the differences between the Steam and GOG releases of the Hexen games here. :)
Edit: All music included in all releases are in OGG format! None are in MP3 format and music should also be playable when using a source port like Hammer of Thyrion for Hexen 2. Hopefully there is no more confusion here.
MusicallyInspired has created Roland SC-55 music packs for several classic first person shooters:
At some point in the future, he's also going to make enhanced packs for Heretic and Hexen.