I love to use music in my D&D sessions. I really feel it helps establish an atmosphere and sets the tone for the game. This isn't something we did in the 1908s or 1990s, but it's an aspect of the game I really enjoy.
We D&D players are what Henry Jenkins calls "Textual Poachers." We take the things we find useful and mix and match them to create something new. This is the case with our musical choices. We setup playlists in three categories
1. Background (music we play during the beginning, during character generation, etc)
2. Combat (For fighting scenes inbetween dungeon-creeping)
3. Dungeon (for dungeon-creeping)
Each of these three we break down into music taken from video games and music taken from soundtracks.
Here's an example of some of the video game soundtracks we use:
Icewind Dale 2
Baldur's Gate Shadows of Amn
Daldur's Gate Dark Alliance*
Neverwinter Nights Trilogy
Oblivion: Elder Scrolls IV
The Battle for Middle Earth*
The Battle for Middle Earth 2
*I highly recommend these two albums. Also, anything by composer Jeremy Soule or Michael Hoenig will be great for D&D sessions.
In terms of soundtracks, here are some of my favourites:
Planet of the Apes (brilliant)
The 13th Warrior
Conan the Barbarian
Conan the Destroyer
Army of Darkness (surprisingly good!)
300 (select tracks)
The Golden Compass (again, select tracks)
Ralph Bakshi's Lord of the Rings (love this)
The Mummy Movies (select tracks)
9 (quite a few good tracks here)
I am quite specific with my music lists, but this will give you some ideas if you tend not to use music in your game.
Also, I would also like to bring Syrinscape to your attention. This is a program designed to run D&D style partially-randomized soundscapes as background. The program is customizable too! Check it out.
Please let me know what you use in your games!