Usually, I do! It gets me hyped and in the zone for whatever game I'm playing. The first time I started listening to music while playing games was for Grand Theft Auto: San Andreas Multiplayer (SAMP) for PC. It's a modded multiplayer that allows you to stream radio simultaneously. Certain games it doesn't work like Search and Destroy mode on an FPS game. Other games (like racing games) it works ideally because you don't have to listen carefully.
So to sum things up, yes, I do listen to music while playing games. It does, however, depend on what type of game I'm playing.