Depends on the game, I think. Some games have great soundtracks but if I put in way too many hours it will sound old (e.g. morrowind, SH3). I usually only play my own music if it doesn't distract from the mood.
I tried playing SH3 with Sigur Ros in the background and it's perfect until ships start exploding and depth charges start dropping to Jonsi's dreamy vocals.
