Well, I collect strange ambient/electronica/choral stuff like Wim Mertens (Belly of an Architect), Philip Glass (Einstein on the Beach), Michael Nyman (Prospero's Books), Jeff Johnson (A Fiery Mountain), Scanner (for cyberpunk games) and Biosphere (for the creepy underground stuff). Shinjuku Thief is a bit eclectic for most people's tastes; my players couldn't stand it.
I found that the various Myst soundtracks also make excellent fantasy background music.