The Fight Club soundtrack is awsome for modern/cyberpunk games... I'd also recommend Orgy, Gravity Kills, Fluke, and any of Paul Oakenfold's Global Underground albums. BT or Orbital's recent retrospective albums, the Matrix Soundtracks (the Reloaded soundtrack is better than the original, especially for gaming, as it includes Juno Reactor remixes of all the symphonic pieces used in the movie), the Hackers soundtracks, and Crystal Method are all great as well.
For Conspiracy/Illuminati games, all of the above work well- and I'd add Prodigy to the list, too. The anarchist vibe of their music is a perfect accompanyment.
Most of the same music that works well for Cyberpunk does nicely for farther-future RPG's as well. Funker Vogt, VNV Nation, and Nine Inch Nails are good for creating a heavier beat for a combat intensive game- and when playing Star Wars, I'd suggest breaking out the movie soundtracks (Episode II and VI are my favorites music-wise, but the others have good tracks as well. Making a mix CD with the choicest tracks off all of them wouldn't be a bad call- even though I found the Episode I soundtrack rather weak, you've gotta get Duel of the Fates and Anakin's Theme in there somewhere...
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For Fantasy, Lord of the Rings is an obvious choice, but there are some operatic and symphonic composers that I'd recommend taking a look at too. I often use some CD compilations of music by Richard Wagner and Carl Orff as background for epic-tinged games. For something softer, Enya is quite nice (especially when you're running a combat-light session that involves elves or fey-folk). If a rock soundtrack is what you're looking for, I've used Emperor, Cradle of Filth, and Type O-Negative- but these bands aren't for everybody. If you're running a more surreal game like Planescape or Oathbound, some of the stranger goth-rock and ambient tecno groups, like Einsturzende Neubauten, Aphex Twin, or Loscil are the way to go.
(Can you tell yet that I'm a DJ?
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Just my humble opinion, though. Your tastes will vary, but those are my favorites.
