GM Esteban Canal (the Peruvian/Italian player of the "Immortal Peruana" game) was a Dobro Guitar player and music teacher.
http://www.chess.com/forum/view/more-puzzles/peruvian-immortal?page=1
http://www.youtube.com/watch?v=gCjk-nXfspQ
Euterpe and Caissa
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As far as i know,
GM Sutovsky is a good amateur singer,
while GM King is a trained violoncello player!
However,
we've also got Anand,
who loves the sound of Radiohead!