JMich: Play them in your media player to chill? 
 Burn them in a cd to listen while driving? 
 Put them in your media player to listen while exercising?  
 Some games have excellent soundtracks, and the extras from GOG.com usually include them, so you are able to listen to them without having to start the game. 
 There is also a possibility that some games allow you to change the ingame music with one of your choice, so if the soundtrack is of better quality, you may use that. I am not sure though if Heroes give this option. 
  I worded my question poorly. Do I need to put them in some game folder in order to have all of the game soundtracks? I haven't started any of the games yet since I got the urge to buy them after I got a new PC and started on HOMM 5 which I haven't finished yet.