Unless it is a racing game or a game where I am grinding, I don't listen to music besides what is implemented in the game. It kills the mood.
When listening to music, in game sound effects are either drowned, therefore you can get screwed over by enemies/obstacles, or they are not drowned, in which case there is no point listening to the music in the first place because you cannot enjoy it.
It's like vacuum cleaning when you are trying to watch a movie.