I like to have something relevant playing while I play a game or paint, but I don't always play it during games for fear that my fellow gamers might find it obnoxious.
I've found that Spotify is a great tool for putting together playlists that are period specific and I've created several for getting in the right mood. It's amazing some of the stuff you can find in Spotify if you know what you're looking for. I've got one for Dark Age gaming, one for the Russian Civil War, and one for Central American wars of the 80s. A friend has a very good Vietnam playlist.
I'm not a bad man but in certain situations I have to ask myself - what would a bad man do?