I did that once but then the arbiter disqualified me.
music you listen to while playing chess

None, as much as I want to. Sometimes OTB though I listen to Michael Jackson, Murray Head's One Night in Bangkok, or some Duran Duran. I also have some Danny Elfman tunes. I am the Oogie Boogie man after all ^_^

I am completely against listening to anything while trying to concentrate on a game, and if I can hear a single musical note from my opponent's headphones, it's too loud, and I file a complaint. That also applies to those on neighboring boards.
I wish they'd ban them completely. The USCF finally made it that the TD has the option to ban them, and that players must get permission to use one. If I were ever to organize a tournament, I'd ban those god-awful things - one violation equals expulsion from the tournament!
When i get pumped up i usually listen to rock like imagine dragons radioactive.