I like good music in games, too, but as I said before, I seldom find music that is really adding to the immersion - or it simply takes up too much resources.
So I often switch it iff.
I've heard of a few games allowing to use a music CD instead, orAge of Wonders (and its orecessors), which uses its own playlist where you can add MP3 files manually. <img src="/ubbthreads/images/graemlins/winkwink.gif" alt="" />