the music in game is good too, especially in fallout lol. But listen to some fast paced intense stuff can get me so much more into the game. Also
Viking metal as a reply to the other guys question for an example.
http://www.youtube.com/watch?v=Wz-ExsTjafQ
atleast i think thats viking metal.
Amon Amarth is Melodic Death Metal. Viking Metal would be a band like http://www.youtube.com/watch?v=PB1T_yCvGFg
Anyway, on topic: I usually prefer the in-game music, but then I tend to not play FPS games anymore. If I'm not listening to in-game music, its usually stuff on my computer or iPod. You can find more information on what that is on my Last.fm (link in sig).