You can already do this on the Xbox 360 and the PC. Just go to the media tab in the xbox dashboard and start your music, it will play over all game sounds until something important (a cut-scene or cinematic) plays, and then it will shut off. The PC is even more simple, you just start up your favorite music program, loop it to repeat, then turn off the game's music.
I don't know about the PS3, I've never played on it.
Don't think you can on ps3, i don't have any music on my ps3 so i could not say, but it is not a big deal or a feature i would really care about, i could just play music with my phone, computer, or anything else, but i don't like to play music much when playing video games online cause i want to hear someone sneaking up on me so i can turn around and bash their head in :thumbsup: