In game music all the way. Only time I ever listen to different music while playing a game is when I'm playing silly little flash games, or doing repetitve hack-n-slash grinding (like in an MMO, or a roguelike).
Nice choice, I'll just be listening to Soule, his in-game work is amazing.
^ This.
For most other games I multi-task and watch TV or listen to music as I play. With TES games, I like to turn everything else off and really get into it. (GF doesn't have an off button though...jk jk)
For a while I'll just stick with the in-game music, but then eventually I'll put in some of my folk music collections in, as well as some decent folk metal for battle.
I will stay away from that satanic music. I will be listenting to the in game music and mods that bring in more fanatsy like music like the oblivion mod ones.