In-game, only the soundtrack. Away from the game - Dead Can Dance (and anything else Lisa Gerrard,; Gladiator, 300 etc); LotR soundtrack; WoW Lich King soundtrack; Byzantine (instrumental); J S Bach; some Purcell and some true authentic Medieval type music (when I am able to find some good ones that is). Oh, and the Braveheart soundtrack.
More contemporary stuff: Some Metal, Rammstein, Greek music till the 1970s; hard style Techno.
But, my favourite, Dead Can Dance, like Skyrim, takes me to other places.