I enjoy the in-game music quite a bit, but sometimes I like to set my own soundtrack. It mainly consists of some very balls-out rock for when I'm locked in big fights, some acid jazz or trip-hop for wandering through the vaults, and various acoustic and country for just random in-town or wasteland wandering. Here's a brief rundown of my soundtrack:

Battle Music:
The Architects - Death Rides a Horse
Black Sabbath - Fairies Wear Boots
NOFX - Dinosaurs Will Die
Rancid - Bloodclot
Wu Tang Clan - Killer Beez
Metallica - The Thing That Should Not Be (mainly play sniper characters, that one is mostly for stalking my prey down)

Vault Exploring:
Portishead - Roads
Morphine - A Cure For Pain
Zero 7 - Mr. McGee
Thievery Corporation - Take My Soul
Nightmare On Wax - Pretty Dark
Dusty Springfield - Spooky

Around Town:
Frank Turner - Wessix Boy
The Nightwatchman - The Road I Must Travel
Ghost Mice - The Moon Will Rise
Andrew Jackson Jihad - Rejoice
Dustin Kensrue - I knew You Before You Were Beautiful

Wasteland Wandering (without any serious or prolonged combat):

Johnny Cash - I've Been Everywhere
Hank III - My Drinkin Problem
The Refreshments - Banditos
Philadelphia Philharmonic - The Good, The Bad, and The Ugly (The Ecastasy of Gold)


That's a brief rundown, it changes based on my mood, the character I'm playing, and my surroundings. Anyone else do anything similar?