I agree that sci-fi and fantasy movie soundtracks are a good choice for D&D adventures. The soundtrack I highly recommend, though, hasn't been mentioned yet. It's Passion, Peter Gabriel's soundtrack for The Last Temptation of Christ; it's a stunningly good fit with fantasy gaming.
I also recommend most of Loreena McKennit's albums as incidential music in games, especially, Parallel Dreams (but only tracks 1-5, 8), The Visit, The Mask & the Mirror and The Book of Secrets. One song that stands alone as an excellent gaming song (and indeed the basis for a god, prestige class or who knows what) is Tom Waits' Black Wings on Bone Machine.