Here's what I use to help set the mood for games:
Americen McGee's Alice Soundtrack (ripped from the PAK files for the game, real creepy stuff)
Brotherhood of the Wolf Soundtrack (most of it is good, nice fill music, but not to creepy)
Ghost In the Shell Soundtrack (once again, good filler stuff)
Requim for a Dream Soundtrack (used for a walk through the city of death)
Sinjuku Theif - The Witch Hunter (guy from down-under, hard to find but real, real good music for d&d. try to find it on kazaa or the like)
Silent Hill 1 & 2 Soundtracks (if you've played the games I shouldn't have to explain, if you haven't...rent the games and play em.)
Thank god for mp3 players too because i tossed em all on to one cd and didn't have to touch the player for most of the night.