I've been on a massive Eurobeat kick recently, so guess what I listen to when I'm playing Dirt Rally or one of the other racing games I have on Steam? Of course, pop on one of those 3+ hour Eurobeat mixes on Youtube and shred tires, son.
For other games, I dunno. Most of the time playing Killing Floor or something similar that doesn't have much in the way of mental stimulation, I'll put on a podcast or something.
...does the music that's in the game count? I really really like David Wise's work on part of the DKC series as well as the ambiance music in the Fallouts.