I just got the GOG version a few days ago and am having this problem as well. Above ground all I get are ambient sounds and sometimes Aleroth music.
Tried reinstalling, admin, comparability etc, none of it's helping.
Really disappointing to me especially after hearing some of the soundtrack elsewhere, It feels like a whole part of the game is missing.
Just to note, I have the same problem with my GOG version. Sometimes quitting and reloading the game fixes it but mostly I get no music. Running it on Win7 x64 (admin mode) 8Gb RAM, AMD quad core 3.4Ghz and sounblaster live audio. Also tried it on the board's built in realtek audio.
EDIT:
Just had a thought; my PC has two sound cards (as I use it for DJ'ing) and I just switch sound cards by changing the default sound device. I have three; the two soundcards and HDMI audio out. Does anyone here with this problem have more than one sound card fitted or have a graphics card with HDMI output? A long shot but maybe something to do with that?