Yep, we started using music in our games about 9 months ago. I only use instrumentals as lyrics are too distracting and generally the sound level is low so that people can talk over it without needing to raise their voice.
I use my iPod and have playlists for Combat, Dungeon, Town, Background, Horror, Church, etc. This has made switching between music themes super quick and easy. Just press a couple of buttons and I can quickly switch the music to match the scene. I have slowly built my collection of movie soundtracks over the last year or two so I now have about 2 dozen albums worth of music to pick from. That means that I can just random shuffle the music for a particular theme and not have to worry about the music getting too repetitive during a fight, or even a session.
Overall I think it has definitely been a worthwhile addition to the game (otherwise I wouldn't use it still). The best use of it was for a Call of Cthulhu one-shot that I ran. I used the various Silent Hill original soundtracks as they are (unsurprisingly) just full of great horror tracks. I only put the horror music on when the PC's started getting closer to something bad happening and it had a great impact on the game. You could see the tension rise in my players as soon as I put the music on. It got to a point where one of my players looked quite scared at the table. The music well and truly set the mood that session.
Olaf the Stout