The only game I don't play the music in is SE4, and that is mostly because the game does not require the CD to be in the drive to run, so I never have it in there.
The music in a game helps to create the atmopshere of the game. To me, it is an often integral part of the game. Not something that makes or breaks a game, of course. But it does make the game more enjoyable when it has good music in it.